Quantitative Equity Portfolio Management
Archived page from the Certificate in Quantitative Investment (CQI) section of the original site. For current information see en.cqi.sg.
Course Description
Quantitative Equity Portfolio Management…
Course Outline
| Session | Topics | Readings | Homeworks |
| 1 | Consensus expected, exceptional, residual returns and risk | Lecturer handout | hw1 |
| 2 | Expected returns and valuation | Lecturer handout | hw2 |
| 3 | Information and forecasting | Lecturer handout | hw3 |
| 4 | Fundamental vs. economic factor models | Lecturer handout | hw4 |
| 5 | Portfolio construction | Lecturer handout | hw5 |
| 6 | Transaction cost, liquidity, neutrality, blacklist, market impact, tax and all that | Lecturer handout | hw6 |
| 7 | Performance analysis | Lecturer handout | hw7 |
| 8 | Portfolio optimization using SOCP and global optimization methods | Lecturer handout | hw8 |
| 9 | Advanced portfolio optimization 1 (Bayesian approach, etc.) | Lecturer handout | hw9 |
| 10 | Advanced portfolio optimization 2 (moment selection, etc.) | Lecturer handout | hw10 |
| 11 | Universal portfolio | Lecturer handout | hw11 |
| 12 | Estimation of covariance matrices | Lecturer handout | hw12 |
Recommended Readings
- Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, Richard Grinold, Ronald Kahn
- Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management, Ludwig B Chincarini, Daehwan Kim
- Advances in Portfolio Construction and Implementation, Alan Scowcroft
- Bayesian portfolio optimization with time-varying factor models, Feng Zhao