Implementing quantitative signals in a corporate bond portfolio can be challenging owing to
high transaction costs, large variations of liquidity across individual bonds, and the …

We introduce a generic solver for dynamic portfolio allocation problems when the market
exhibits return predictability, price impact and partial observability. We assume that the price …

This paper studies the interplay between information aggregation and p-hacking in the
context of predicting stock returns. The standard information-aggregation techniques …

In this article, we examine the question of efficiently combining multiple sources of alpha. We
begin with a comparison of the various methods used by practitioners for constructing …

In this exercise, we attempt to develop an institutional quality investment cum trading
strategy with small and retail investor in mind. Apart from lack of professional expertise and …

Abstract We introduce Dynamic Entropy Pooling, a quantitative technique to perform
dynamic portfolio construction with discretionary, non-synchronous views. With Dynamic …

Quantitative techniques have long been used to measure and control risk in credit portfolios.
More recently, interest has grown in a systematic approach to generating alpha in credit …

Engineering Investment Process: Making Value Creation Repeatable explores the
quantitative steps of a financial investment process. The authors study how these steps are …

The author develops a workable procedure to make quantitative portfolio management more
dynamic. Under several simplifying assumptions, an optimal portfolio management policy …

Artificial Intelligence (AI) is a concept that describes how intelligent people think about an
intelligent machine, a computer-controlled robot, or a piece of software. The advertisers will …