Committee login






Small thumbnail

Baidu SEO

Challenges and Intricacies of Marketing in China

Small thumbnail

Asymmetric Alliances and Information Systems

Issues and Prospects

Small thumbnail

Technicity vs Scientificity

Complementarities and Rivalries

Small thumbnail

Freshwater Fishes

250 Million Years of Evolutionary History

Small thumbnail

Biostatistics and Computer-based Analysis of Health Data using SAS

Biostatistics and Health Science Set

Small thumbnail

Predictive Control

Small thumbnail

Fundamentals of Advanced Mathematics 1

Categories, Algebraic Structures, Linear and Homological Algebra

Small thumbnail

Swelling Concrete in Dams and Hydraulic Structures

DSC 2017

Small thumbnail

The Chemostat

Mathematical Theory of Microorganims Cultures

Small thumbnail

Earthquake Occurrence

Short- and Long-term Models and their Validation

Small thumbnail

Engineering Investment Process

Making Value Creation Repeatable

Florian Ielpo, University of Paris 1, France Chafic Merhy, University Paris IX Dauphine, France Guillaume Simon, Capital Fund Management

ISBN: 9781785481628

Publication Date: April 2017   Hardback   430 pp.

130 USD

Add to cart




This book explores the quantitative steps of a financial investment process.
The authors study how these steps are articulated in order to make any value creation, whatever the asset class, consistent and robust.
The discussion includes factors, portfolio allocation, statistical and economic backtesting, but also the influence of negative rates, dynamical trading, state-space models, stylized facts, liquidity issues, or data biases.
Besides the quantitative concepts detailed here, the reader will find useful references to other works to develop an in-depth understanding of an investment process.


1. Understanding the Investment Universe.
2. Dealing with Risk Factors.
3. Active Portfolio Construction.
4. Backtesting and Statistical Significance of Performance.
5. Gauging Economic Influences on Quantitative Strategies.

About the Authors

Florian Ielpo is Head of Macro Research at Unigestion and associate researcher at University of Paris 1 in France.
Chafic Merhy is Head of Credit Quantitative Research at Natixis Asset Management. He is also a lecturer at University Paris IX Dauphine.
Guillaume Simon is Research Manager in Equity Statistical Arbitrage for Capital Fund Management.


DownloadTable of Contents - PDF File - 74 Kb

Related Titles

0.02764 s.