Appendix

Andrew Chin, Frank J. Fabozzi, Jim Kyung-Soo Liew, Alexander Rudin and Igor Yelnik

Chapter 10 in Perspectives on Financial Modeling for Institutional Investors, 2026, pp 261-340 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Appendix to Chapter 2 Strategic Portfolio ConstructionAppendix to Chapter 3 Factor Optimization with Portfolio ConstraintsAppendix to Chapter 4 Portfolio Rules and RegularizationAppendix to Chapter 5 Technical Foundations of Fixed-Income and Credit ModelingAppendix to Chapter 6 Technical Foundations of Explainability in Investment ModelsAppendix to Chapter 7 Introduction to the Square-Root Law of Market Impact

Keywords: Financial Modeling; Portfolio Construction; Quantitative Investing; Factor Models; Portfolio Optimization; Asset Allocation; Risk Management; Model Governance; Explainability; Interpretable AI; Machine Learning In Finance; Agentic AI; Multimodal Models; Transformers; Econometrics; Regularization; Shrinkage Methods; Elastic Net; Risk Parity; Portfolio Rules; Transaction Cost Modeling; Market Impact; Square-root Law; Execution Costs; Model Risk; Attribution Models; Brinson–Fachler; Prime Alpha; Performance Attribution; Smoothing And Desmoothing; Private Equity Modeling; Public–Private Linkage; Hedge Fund Factor Modeling; Strategic Asset Allocation; Covariance Estimation; Ledoit–Wolf Shrinkage; Volatility Targeting; Robust Optimization; Bayesian Methods; Predictive Modeling; Dynamic Factor Models; Uncertainty Modeling; Optimization Constraints; Mixed-integer Optimization; Index Replication; Sampling; Turnover Constraints; Capital Markets; Fixed Income Modeling; Credit Risk; Interest Rate Modeling; Governance Frameworks; Fiduciary Oversight; Discretionary Vs. Systematic Investing; Hybrid Investment Processes; Ai Decision-support Systems; Institutional Investing; Multi-asset Strategies; Risk Decomposition; Diversification; Factor Exposures; Signal Stability; Model Validation; Slippage; Capacity Analysis; Market Microstructure; Liquidity Modeling; Alternative Investments; Hedge Funds; Private Markets; Trading Cost Analysis; Execution Algorithms; TWAP; Forecasting Models; Econometric Calibration; Sensitivity Analysis; Asset Management; Investment Research; Financial Engineering; Quantitative Research; Performance Evaluation; Investment Strategy Design (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 G23 G32 G53 (search for similar items in EconPapers)
Date: 2026
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