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Reliability Investigation of LED Devices for Public Light Applications

Durability, Robustness and Reliability of Photonic Devices Set

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Aerospace Actuators 2

Signal-by-Wire and Power-by-Wire

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Flash Memory Integration

Performance and Energy Considerations

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Mechanics of Aeronautical Solids, Materials and Structures

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Engineering Investment Process

Making Value Creation Repeatable

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Space Strategy

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Distributed Systems

Concurrency and Consistency

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Fatigue of Textile and Short Fiber Reinforced Composites

Durability and Ageing of Organic Composite Materials Set Volume 1

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Management of the Effects of Coastal Storms

Policy, Scientific and Historical Perspectives

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Computational Color Science

Variational Retinex-like Methods

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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: March 2017   Hardback   430 pp.

130 USD

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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.


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