Asset management

Quant investing in cluster portfolios

This paper discusses portfolio construction for investing in N given assets, eg, constituents of the Dow Jones Industrial Average (DJIA) or large cap stocks, based on partitioning the investment universe into clusters.

Libor transition – What is the endgame?

No-one expected the transition away from Libor to be easy. At the outset, some doubted whether the transition was even possible. However, with less than a year left before the expected cessation of Libor as a regulated benchmark, the transition certainly…

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