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Quant Mashup - DileQuante
Protected equity fund: Split your portfolio to better fit your hedging instruments [DileQuante]
Imagine you are an European insurer. One of your funds is an equity portfolio of EMU stocks. Under Solvency II framework, you might want to reduce your Solvency Capital Requirement (SCR) thanks to the use of derivatives to hedge some of your equity risk. However, due to your size, the only
- 5 months ago, 17 Aug 2022, 08:52pm -
Practical Implementation of Strategic Allocation Bets with Black-Litterman [DileQuante]
As a portfolio manager or as a portfolio construction analyst, the most usual way to manage a fund is to elaborate a Strategic Asset Allocation (a.k.a. “SAA”), that is reviewed on a mid or low frequency, on which PM or researchers add their tactical views, i.e. a Tactical Asset Allocation
- 6 months ago, 30 Jul 2022, 12:22pm -
Portfolio Optimization: Replicate a corporate bond index via Mixed-Integer Programming [DileQuante]
While portfolio optimization is well known in the Equity space, in the Fixed Income industry, the subject is less discussed although it has very specific needs and it can be more complex compared to its Equity counterparts. One key difference between the two of them is the trading lot size. In
- 1 year ago, 21 Jun 2021, 11:54am -
NEW SITE: Portfolio Optimization: Minimize risk with Turnover constraint via Quadratic Programming [Dilequante]
Rebalancing portfolios is an important event in the life of the portfolio manager, whether we talk about the timing or the degree of the rebalancing, i.e. the portfolio turnover, this is a sensitive operation. As well as the first one is important to avoid bad timing market effects, the second one
- 1 year ago, 16 Mar 2021, 10:49am -

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