In modern quantitative investment practice, research outcomes of genuine long-term value are often embodied in implementable, executable, and reproducible investment portfolios, not merely in statistically significant factor correlations. Feishu Quant Competition, with academic support from ETH Zurich, Universität Zürich (University of Zurich), Technische Universität München (TUM), and the University of Toronto, focuses on the entire asset management process, centering on the construction, execution, and evaluation of long-only portfolio strategies in the A-share market.
Lecture notes
YouTube Lectures
Library
Other books that complete the topics covered in class, and go more in-depth in the materials we discussed.
An Introduction to Statistical Learning. Gareth James, Daniela Witten, Trevor Hastie, Rob Tibshirani
A gem, for free.
Taleb, N. N. (1997). Dynamic hedging: Managing vanilla and exotic options. New York: Wiley.
A classic by Quant Skeptic number 1, Nassim Taleb
Taleb, N. (2005). Fooled by randomness: The hidden role of chance in life and in the markets. New York: Random House Trade Paperbacks.
Another treaty on skepticism
Hedge funds : quantitative insights /
François-Serge L’habitant. John Wiley, ©2004
Hedge funds [electronic resource] : structure, strategies, and performance /
[edited by] H. Kent Baker and Greg Filbeck
A compilation of papers, it shows the topics that interest investors when it comes to hedge funds. Many of the topics are still relevant today. The focus is very investment centric, and shows the quantitative analyst that there are many topics of interest which are not quantitative at all.
Taleb, N. N. (2007). The black swan: The impact of the highly improbable.
Pop culture meets risk management. This book, a prophecy of the financial crisis of 2008, brought Nassim Taleb to the main stream media as a risk visionary.
NewsRoom
Credit Suisse takes $4.7 billion hit from Archegos hedge fund scandal; execs step down
Credit Suisse announced several high-level staff departures and proposed a cut to its dividend as it weighs heavy losses from the Archegos Capital saga.
The Swiss lender now expects a first-quarter pre-tax loss of around 900 million Swiss francs ($960.4 million), after taking a charge of 4.4 billion Swiss francs as a result of the scandal.
Melvin Capital, hedge fund targeted by Reddit board, closes out of GameStop short position
CNBC could not confirm the amount of losses the firm took on the short position. Citadel and Point72 have infused close to $3 billion into Melvin Capital to shore up its finances.
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