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The Science of Algorithmic Trading and Portfolio Management by Robert Kissell

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Chapter 11

Quantitative Portfolio Management Techniques

In this chapter we introduce readers to the various different ways that transaction cost analysis (TCA) and market impact is being incorporated into the stock selection phase of the investment cycle. For example, portfolio managers are using market impact estimates to improve stock selection via MI factor scores, cost curves, alpha capture programs, and to better manager Investment Strategy Capacity. Additionally, these information sets are being used to improve portfolio optimization, back-testing investment ideas, and also for asset allocation. However, the current state of the market and the current vendor models do not provide money managers with enough information to make sufficient ...

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