From Signals to Returns: Different Modeling Choices
author: Miquel Noguer Alonso,
Columbia University
published: Nov. 22, 2017, recorded: November 2017, views: 1015
published: Nov. 22, 2017, recorded: November 2017, views: 1015
Related content
Report a problem or upload files
If you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
Description
Active strategies face the challenge of combining information from different sources in order to maximize that information’s after-cost effectiveness. This challenge is evident for investors who follow a systematic, structured investment process. It is also an issue, although often unrecognized, for more traditional managers who must balance top-down views and the views of in-house and sell-side analysts. In any case, a decision is made either through default, analysis, or whimsy. This task is commonly called signal weighting, although risk budgeting can be an alternative description. The approach is based on standard methods of portfolio analysis and their extension to dynamic portfolio management.
Link this page
Would you like to put a link to this lecture on your homepage?Go ahead! Copy the HTML snippet !
Write your own review or comment: