Optimisation and quantitative investment management

This paper provides a brief survey of some of the key issues in building a successful quantitative equity portfolio construction platform, integrating a data warehouse, a rebalancing engine, a back-testing engine as well as an attribution methodology. Optimisation models and software are central elements of such a platform. They serve as sophisticated tools for transferring the excess return ideas generated through research and testing into portfolios that best represent these ideas. In addition to the standard mean-variance optimisation models that are adjusted for transaction costs and taxes, advanced topics such as multi-period portfolio selection models and robust optimisation approaches are discussed.