Investment Analytics in the Dawn of Artificial Intelligence

The following sections are included:

• Contents
• Preface

In the coming decade, business school case studies will be written on the sheer amount of media coverage on artificial intelligence (AI) and financial technology (FinTech) recently, especially after Bitcoin reached almost US$20,000 by December 2017 and then crashed back to the US$3,000+ level in 2018. Initially, the popular media was preparing the global audience for the second coming of a messiah in finance, and then quickly reversed to reminding them of how those who could not remember financial bubbles were condemned to repeat the past…

The following sections are included:

• Use Case
• Platform Navigation
  • Investment Categories
  • Product Attributes
  • Long and Short Exposure
  • Portfolio Gauges
  • Product Statistics

The following sections are included:

• Use Case
• A Brief History of Risk Management
  • Evolving from Insurance to Risk Management
• Extreme Risk Measures
• Related Risk Modeling Techniques
  • Fat Tails
  • Uniform Margins
  • Arrival Times
  • Empirical Observations

The following sections are included:

• Use Case
• Seven Objective Functions
  • Minimum Absolute Residual
  • Minimum Variance
  • Minimum Peak-to-Trough MDD
  • Minimum 95% Value-at-Risk
  • Minimum 95% Conditional Value-at-Risk
  • Maximum Sharpe Ratio
  • Maximum Alternative Sharpe Ratio
  • Assumption

The following sections are included:

• Use Case
  • A Graph to Illustrate the Point
• Risk Attribution
• Ex-Ante Return Attribution
• Difference between Return Attribution & Risk Attribution
• Conclusion

The following sections are included:

• Use Case
• Portfolio-Level Factor Exposure
• Conclusion

The following sections are included:

• Use Case
  • Controlling Extreme Risks through Volatility Derivatives
• Methodology
  • VIX Futures
  • Variance Futures
  • OTM Put Options on SPX
• Hedging Performance
  • 1-Month VIX Futures
  • 3-Month Variance Futures
  • 1-Month OTM Put Options on SPX
• Overall Comparison of Choices of Objective Functions
• Step-by-Step Walk Through

The following sections are included:

• Use Case
• Methodology
  • Balance Sheet 101
  • Fundamental Factors
• Factors
  • Compound Factors
  • Factor Set Definition
• Statistical Criteria
• Implementation
  • Reviewing Fundamental Data
  • Default Settings

The following sections are included:

• Use Case
• Options Pricing Model
  • Options Implied Volatility
• Interest Rate Term Structure
• Commodity Term Structure

The following sections are included:

• Use Case
• Goals in a Typical Portfolio Rebalancing Process
• Methodology for Capital Adequacy
  • SCR Ratio and MCR Calculation
  • Risk Modules

The following sections are included:

• Use Case
• Forward-Looking Scenarios
• Historical Simulation

The following sections are included:

• Use Case
  • Defining the Investment Problem
  • Potential Scenarios on Watch
  • Traditional Approach
  • Stochastic Analysis Solution
  • Outcome
• Methodology
  • Objective
  • Overview
  • Formula
  • Computational Process
• Worked Example
  • Overview
  • Definitions
• Conclusion

The following sections are included:

• Use Case
• Investment Reports
  • Investor Summary
  • Transactions
  • Consolidated Positions
  • Portfolio Summary
  • Profit and Loss
  • Allocation
  • Net Asset Value
  • Portfolio Statistics
  • Risk and Return
  • Correlation
  • Exposures
  • Aggregated Reports

The following sections are included:

• Use Case
• Maintenance and Accounting Reports
  • Custom Benchmark
  • Product Benchmark Mapping
  • Accounting Details
  • Subscription Redemption Details
  • Transactions

The following sections are included:

• Use Case
• Monitoring Compliance Rules

The following sections are included:

• Use Case
• Defining Data Integrity
  • A Practical Example
• Standard Data Integrity Tests
• Mitigation Methods
  • Sample Algorithm to Fill Missing Data: Expectation-Maximization
  • Sample Treatment of Outliers and Influential Cases
  • Sample Data Integrity Validation Process
• Conclusion

The following sections are included:

• Use Case
• Dashboard for Investment Teams
• API for End-Investor Access
• Management Approval Panel

The following sections are included:

• Winners and Losers
• Enlarging the Overall Pie in the Fight against Poverty
• Changing Global Asset Management Landscape
• More Frauds Initially Until Robust Solutions Stand Out
• Steady-State Outcomes
  • How may the Steady-State Outcome Impact the Industry?
  • How may the Steady-State Outcome Manifest in Time?
  • How may the Steady-State Outcome Manifest Geographically?
• Final Conclusion

The following sections are included:

• Bibliography
• Index