A Survey of Research Topics in Investment Finance

1
A Survey of Research Topics in Investment Finance

• A Wish List of Future Research
• Tommy Huie
• Chicago Quantitative Alliance
• CoFES Symposium Sept. 20, 2004

2
What Practitioners Want

• How to realistically make money
• Given real world constraints, portfolio sizes,
  and transaction costs
• Within acceptable risk parameters

3
Suggested Research Topics

• Appeal to many practitioners
• Subjectively under-researched areas
• High possible impact
• Takes advantage of CoFES strengths

4
Equity Risk Models

• Multi-factor model construction
• Active risks (a.k.a. tracking error)
• Predicted
• Realized
• Value-at-Risk measures

5
Impacts of Constraints on Portfolio Management

• Short selling
• Liquidity
• Business risk impediments (risk aversion)

6
Portfolio Optimization Techniques

• Long-only
• Long-short
• Tax-aware constraints
• Multi-manager programs
• Overlay portfolio management

7
Psychological Constraints

• Behavioral finance
• Investor errors
• Data impediments
• Estimation errors

8
Other Topics

• Pension fund management
• Activist security holders
• Enterprise risk management