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Quantitative Asset Management – Quantitative Asset Management

Quantitative Asset Management

By: Michael Robbins

In a straightforward and unambiguous style, Quantitative Asset Management shows how to join factor investing and data science―machine learning applied to investing. Using instructive anecdotes and practical examples, including a companion website with working code, this innovative guide provides a toolkit for applying these modern tools to investing and includes such real-world details as currency controls, market impact, and taxes.

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Big data combined with machine learning and artificial intelligence provides amazing opportunities for institutional investors—and this comprehensive resource walks you through the process of leveraging them for all they are worth.

In a straightforward and unambiguous style, Quantitative Asset Management shows how to join factor investing and data science―machine learning applied to investing. Using instructive anecdotes and practical examples, including a companion website with working code, this innovative guide provides a toolkit for applying these modern tools to investing and includes such real-world details as currency controls, market impact, and taxes.

Quantitative Asset Management reveals the entire investing process, from designing goals to planning, research, implementation, testing, and risk management. Inside, you’ll find:

  • Cutting-edge methods married to the actual strategies used by the most sophisticated institutions
  • Real-world investment processes as employed by the largest investment companies
  • A toolkit for investing as a professional
  • Clear explanations of how to use modern quantitative methods to analyze investing options
  • An accompanying online site with computer code and additional resources

Written by a seasoned financial investor who uses technology as a tool―as opposed to a technologist who invests―Quantitative Asset Management explains the author’s methods without oversimplification or confounding theory and math. It demonstrates how leading institutions use Python and MATLAB to build alpha and risk engines, including optimal multi-factor models, contextual nonlinear models, multi-period portfolio implementation, and much more to manage multibillion-dollar portfolios.

Big data combined with machine learning provides amazing opportunities for institutional investors. This unmatched resource will get you up and running with a powerful new asset allocation strategy that benefits your clients, your organization, and your career.

Editorial Reviews

Review

Quantitative Asset Management is a comprehensive practical handbook for designing, building, and operating a quantitative investment business. It is a useful reference for investors and quants grounded in academic research yet wishing to thrive in the unforgiving investing world by exploiting structural advantages, such as multi-period rebalancing and modern machine learning methods.”
Frank J. Fabozzi, Editor, Journal of Portfolio Management and Co-editor, Journal of Financial Data Science

“Michael bridges comprehensive risk concepts and its underpinnings to the new generation of artificial intelligence (machine learning) tools to generate investment returns in a volatile and interconnected global markets and economy. The book builds on his experience of building and applying new generation artificial intelligence (machine learning) tools across the full risk lifecycle and spectrum of risk sources. The book offers insights into what works and what to watch out with a practical roadmap for seasoned investment professionals looking to update their knowledge and students looking to bring cutting edge approaches to an investment career.”
Deven Sharma, Past President, Standard & Poor’s

“With impressive precision Michael Robbins has written a remarkable book on the critical questions and answers required when making investment decisions. We need to recognize our limitations and apply the right techniques or tools to operate successfully in the markets. A great and readable book!”
Dr. Ulrich Stephan, Chief Investment Officer, Deutsche Bank

“Quantitative methods are a black box for most institutional investors. Michael pierces the historical opacity of this discipline with a comprehensive and practical guide that should help pave the way for better understanding of quantitative approaches by asset owners and improved monitoring of portfolio characteristics and performance by those responsible for governance. From the top-down aspects of macroeconomics and asset allocation to the bottom-up building blocks of markets, securities, factors, and alphas Michael covers all bases, artfully combining theory and practice in one complete tome.”
Mark Baumgartner, PhD, CFA, Chief Investment Officer, Carnegie Corporation of New York,
Former Chief Investment Officer, Institute for Advanced Study

“The biggest determining factor for successful investing is whether or not there is a system in place. Michael Robbins shares a career’s worth of systematic thinking in this excellent book. A must-read for all professionals, regardless of their experience level or style.”
Joshua M. Brown, CEO of Ritholtz Wealth Management and star of CNBC’s The Halftime Report

“This is a true how-to book for the investment professional. In addition to providing practical and detailed directions on quantitative investing – covering data analysis, factor investing, asset allocation strategies and much more. It also provides a framework for managing the process and business of investment management. The book lays out the importance of culture, investment policy statements, risk management and even discusses how institutional factors can affect your investment process. Unlike most books in the field, this one truly is geared towards developing total and complete investors.”
Bob Browne, Emeritus Chief Investment Officer, Northern Trust

“Michael Robbins and Quantitative Asset Management deliver a thought-provoking, revealing and insightful series of perspectives for professional investors, investment committee stewards and others. It is a must read for those interested in quantitative investing and committed to continuous learning.”
Steven L. Fradkin, President, Wealth Management, Northern Trust

Quantitative Asset Management covers the entire investment process with foundational and practical state of the art quantitative, ML and AI methods and strategies. Written from an investor’s perspective, Michael provides valuable and innovative insights on the effective use of big data and technology to analyze investment options and enhance performance—while addressing important risk management issues. It’s an excellent text for both seasoned finance professionals and students seeking to efficiently learn the latest investment tools and strategies.”
Andy Naranjo, Susan Cameron Professor of Finance Chairman, Eugene F. Brigham Finance, Insurance & Real Estate Department, Director, International Business Center University of Florida, Warrington College of Business

“The challenge with quantitative investing is largely rendering the apparently complex simple. Michael not only manages this feat comfortably, but then goes on to engage the reader by bridging the gap between academia and practice, by offering insights that will make sense to both the experienced investor and interested lay person.”
Eoin Murray, Head of Investment, Federated Hermes Limited

“If you care about investing and have an interest in AI and machine learning then add this book to your basket immediately! Michael neatly weaves all of the above into a practical ‘do’s and don’ts’ of investment management.”
Dean Berry, Group Head of Trading & Banking Solutions, London Stock Exchange Group

“The creation and preservation of wealth are long-term pursuits and inherently involve the proper management of a wide set of risks. Factor modeling now includes machine learning, algorithms, and new inputs from a very deep lake of alternative data. Perspective and experience will always matter, and Quantitative Asset Management is an excellent source for today’s practitioner facing new challenges and opportunities as part of their investment due diligence.”
William J. Kelly, CAIA, Chief Executive Officer, Chartered Alternative Investment Analyst (CAIA) Association

From the Inside Flap

Big data combined with machine learning and artificial intelligence provides amazing opportunities for institutional investors—and this comprehensive resource walks you through the process of leveraging them for all they are worth.

In a straightforward and unambiguous style, Quantitative Asset Management shows how to join factor investing and data science―machine learning applied to investing. Using instructive anecdotes and practical examples, including a companion website with working code, this innovative guide provides a toolkit for applying these modern tools to investing and includes such real-world details as currency controls, market impact, and taxes.

Quantitative Asset Management reveals the entire investing process, from designing goals to planning, research, implementation, testing, and risk management. Inside, you’ll find:

  • Cutting-edge methods married to the actual strategies used by the most sophisticated institutions
  • Real-world investment processes as employed by the largest investment companies
  • A toolkit for investing as a professional
  • Clear explanations of how to use modern quantitative methods to analyze investing options
  • An accompanying online site with computer code and additional resources

Written by a seasoned financial investor who uses technology as a tool―as opposed to a technologist who invests―Quantitative Asset Management explains the author’s methods without oversimplification or confounding theory and math. It demonstrates how leading institutions use Python and MATLAB to build alpha and risk engines, including optimal multi-factor models, contextual nonlinear models, multi-period portfolio implementation, and much more to manage multibillion-dollar portfolios.

Big data combined with machine learning provides amazing opportunities for institutional investors. This unmatched resource will get you up and running with a powerful new asset allocation strategy that benefits your clients, your organization, and your career.

Availability:

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Publish Date:

2023-06-16

Published Year:

2023

Publisher Name:

McGraw Hill

Total Pages:

496 pages

ISBN 10:

1264258445

ISBN 13:

978-1264258444

Format:

Hardcover

Country:

United States

Language:

English

Dimension:

6.36 x 1.61 x 9.24 inches

Weight:

1.62 pounds

File Format:

Kindle

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