Lecture

Quantitative Risk Management: Linear Strategies

In course

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Description

This lecture covers the use of linear strategies in quantitative risk management, focusing on translating signals into portfolio positions and exploiting predictability. It discusses the construction of simple tradable factors and the potential of cross-predictability. The instructor presents empirical results and theoretical frameworks related to asset pricing tests, emphasizing the power of principal portfolio analysis.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_1djbeohx

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Economics

Microeconomics: Financial economics

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