Optimisation and quantitative investment management

Arlen Khodadadi, Reha H Tütüncü and Peter J Zangari ()
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Arlen Khodadadi: Goldman Sachs Asset Management
Reha H Tütüncü: Goldman Sachs Asset Management
Peter J Zangari: Goldman Sachs Asset Management

Journal of Asset Management, 2006, vol. 7, issue 2, No 2, 83-92

Abstract: 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.

Keywords: mean-variance optimisation; transaction costs; tax-aware optimisation; multi-period optimisation; multi-portfolio optimisation; robust optimisation (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1057/palgrave.jam.2240205

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