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Optimisation and quantitative investment management

Author

Listed:
  • Arlen Khodadadi

    (Goldman Sachs Asset Management)

  • Reha H Tütüncü

    (Goldman Sachs Asset Management)

  • Peter J Zangari

    (Goldman Sachs Asset Management)

Abstract

This paper provides a brief survey of some of the key issues in building a successful quantitative equity portfolio construction platform, integrating a data warehouse, a rebalancing engine, a back-testing engine as well as an attribution methodology. Optimisation models and software are central elements of such a platform. They serve as sophisticated tools for transferring the excess return ideas generated through research and testing into portfolios that best represent these ideas. In addition to the standard mean-variance optimisation models that are adjusted for transaction costs and taxes, advanced topics such as multi-period portfolio selection models and robust optimisation approaches are discussed.

Suggested Citation

  • Arlen Khodadadi & Reha H Tütüncü & Peter J Zangari, 2006. "Optimisation and quantitative investment management," Journal of Asset Management, Palgrave Macmillan, vol. 7(2), pages 83-92, July.
    • Handle: RePEc:pal:assmgt:v:7:y:2006:i:2:d:10.1057_palgrave.jam.2240205
    DOI: 10.1057/palgrave.jam.2240205
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