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Trends in quantitative equity management: survey results

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  • Frank J. Fabozzi
  • Sergio Focardi
  • Caroline Jonas

Abstract

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  • Frank J. Fabozzi & Sergio Focardi & Caroline Jonas, 2007. "Trends in quantitative equity management: survey results," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 115-122.
    • Handle: RePEc:taf:quantf:v:7:y:2007:i:2:p:115-122
    DOI: 10.1080/14697680701195941
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    References listed on IDEAS

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    1. Moshe Milevsky, 2004. "A diffusive wander through human life," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 21-23.
    2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
    3. Heping Pan & Didier Sornette & Kenneth Kortanek, 2006. "Intelligent finance—an emerging direction," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 273-277.
    4. Daniel Kahneman, 2003. "Maps of Bounded Rationality: Psychology for Behavioral Economics," American Economic Review, American Economic Association, vol. 93(5), pages 1449-1475, December.
    5. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    6. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
    7. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    8. Narasimhan Jegadeesh, 2002. "Cross-Sectional and Time-Series Determinants of Momentum Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 143-157, March.
    9. Granger, Clive W. J., 1992. "Forecasting stock market prices: Lessons for forecasters," International Journal of Forecasting, Elsevier, vol. 8(1), pages 3-13, June.
    10. E. derman, 2001. "A guide for the perplexed quant," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 476-480.
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    Citations

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    Cited by:

    1. Min Zhu & David Philpotts & Maxwell J Stevenson, 2012. "The benefits of tree-based models for stock selection," Journal of Asset Management, Palgrave Macmillan, vol. 13(6), pages 437-448, December.
    2. Radović Milica & Radukić Snežana & Njegomir Vladimir, 2018. "The Application of the Markowitz’s Model in Efficient Portfolio Forming on the Capital Market in the Republic of Serbia," Economic Themes, Sciendo, vol. 56(1), pages 17-34, April.
    3. James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 235-261, April.
    4. Panos Xidonas & Mike Tsionas & Constantin Zopounidis, 2020. "On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH," Annals of Operations Research, Springer, vol. 284(1), pages 469-482, January.
    5. Allen, David & Lizieri, Colin & Satchell, Stephen, 2020. "A comparison of non-Gaussian VaR estimation and portfolio construction techniques," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 356-368.
    6. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.
    7. Constantin Zopounidis & Michael Doumpos, 2013. "Multicriteria decision systems for financial problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 241-261, July.
    8. Miguel, António F. & Chen, Yihao, 2021. "Do machines beat humans? Evidence from mutual fund performance persistence," International Review of Financial Analysis, Elsevier, vol. 78(C).
    9. Thomas, Nisha Mary & Kashiramka, Smita & Yadav, Surendra Singh & Paul, Justin, 2022. "Role of emerging markets vis-à-vis frontier markets in improving portfolio diversification benefits," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 95-121.
    10. Katharina Schwaiger & Cormac Lucas & Gautam Mitra, 2010. "Alternative decision models for liability-driven investment," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 178-193, June.
    11. Katarzyna Kubiszewska & Marcin Potrykus, 2020. "Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1047-1067.
    12. David Allen & Stephen Satchell & Colin Lizieri, 2024. "Quantifying the non-Gaussian gain," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 1-18, February.

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