Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management

By Ludwig B. Chincarini, Daehwan Kim. 2006

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The geometry of relative arbitrage (2014, background): “lly as ‘beating the market’). Mainstream portfolio theory attempts to achieve this by building asset pricing models that explain and forecast stock returns using economic and technical variables (see [CK06] for an exposition for practitioners). Our approach is more closely aligned to Stochastic Port”
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2019, methodology): “In practice, factor models are used, among others, to evaluate the performance of portfolio managers, to assess return anomalies, to predict returns, and to construct portfolios; for example, see Meucci (2005) and Chincarini and Kim (2006). The aim of this paper is to study the usefulness of factor ”
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation (2020, unknown): “In practice, factor models are used, among others, to evaluate the performance of portfolio managers, to assess return anomalies, to predict returns, and to construct portfolios; for example, see Meucci (2005) and Chincarini and Kim (2006). It is, therefore, also of interest to (try to) use factor m”