Quantitative topics in portfolio and risk management

Abstract

The modern quantitative portfolio manager is the quintessential “jack of all trades”. Not only do they need to be an expert in the specific area of portfolio management, they also need to have a thorough understanding of the related areas of valuation, data processing, risk management and performance analysis. What this means practically is that quantitative portfolio managers are regularly faced with problems spanning the entire P − Q spectrum of quantitative finance. Spurred by this reality, the central research question motivating this thesis is exactly the core motivation behind every decision taken by a quantitative portfolio manager: What is the most efficient, practical method for constructing, managing and evaluating optimal multi-asset portfolios in dynamic, non-normal markets? In this thesis, we attempt to provide insight into this broad central research question by offering new perspectives and practical solutions to a selection of sub-problems that a quantitative portfolio manager would have to address in practice. In particular, this thesis is comprised of six essays that each tackle specific problems in the related areas of derivatives, return modelling, systematic trading strategies and portfolio construction.