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ESG Quant (or ESG Quantitative) is an investment strategy, developed by Arabesque Partners, [1] which involves quantitative equity investing [2] while utilizing ESG (environmental, social, and corporate governance) information, often referred to as "non-financial" [3] information.
Financial modeling is the task of building an abstract representation (a model) of a real world financial situation. [1] This is a mathematical model designed to represent (a simplified version of) the performance of a financial asset or portfolio of a business, project, or any other investment.
Most quantitative funds are equity funds, besides fixed income quantitative funds which have become more popular in the past years. [ 3 ] [ 4 ] After the sub-prime mortgage market turbulence, which cast long shadows over many parts of the financial industry, the total mutual fund asset that employ quantitative model is estimated to be over US ...
WorldQuant, LLC was founded in 2007 [13] [5] as a quantitative investment management firm spun out of Millennium Management [14] in New York City. [9] Prior to forming WorldQuant, its Belarus-born [15] founder Igor Tulchinsky (* 1966 [16]) had worked at Millennium as a portfolio manager since 1995.
Portfolio optimization is the process of selecting an optimal portfolio (asset distribution), out of a set of considered portfolios, according to some objective.The objective typically maximizes factors such as expected return, and minimizes costs like financial risk, resulting in a multi-objective optimization problem.
Modern portfolio theory established the quantitative link that exists between portfolio risk and returns. The capital asset pricing model (CAPM) developed by Sharpe (1964) highlighted the notion of rewarding risk and produced the first performance indicators, be they risk-adjusted ratios ( Sharpe ratio , information ratio) or differential ...
Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative structuring or pricing, risk management, investment management and other related finance occupations.
Remember that an estimator for the price of a derivative is a random variable, and in the framework of a risk-management activity, uncertainty on the price of a portfolio of derivatives and/or on its risks can lead to suboptimal risk-management decisions. This state of affairs can be mitigated by variance reduction techniques.