An efficient management of the investment process, considered
in its components, i.e. strategic decisions, portfolio choices
and performance measurement and attribution, represents one
of the main issues for a financial manager. The increasing
complexity of financial markets demands that quantitative
systems provide support for the financial decision making
process.
A suitable choice of quantitative methods to analyse and
support the decision making process requires a sound knowledge
of both the specific features and operating conditions of
each organization unit and of the most advanced quantitative
techniques made available by modern financial research. In
particular, easily applicable quantitative methodologies should
be considered.
The research and consultancy activity promoted
by GRETA focuses on the most topical subjects,
from an operational point of view, related to the main aspects
of the investment process, such as:
| - |
Portfolio optimization
methods (both static and dynamic approaches); |
| - |
Statistic and
econometric models to estimate input parameters for
the decision making process; |
| - |
Methods for performance and
risks measurement and attribution. |
In greater detail, from an operational point of view, GRETA's activity is oriented towards the development of modules dedicated
to:
| - |
Expected returns
and variance-covariance matrices estimation; |
| - |
Portfolio management
techniques capable of including the economic and financial
scenarios designed in the strategic asset allocation
phase |
| - |
The measurement and monitoring
of risk, performance evaluation and attribution, both
in historical and forecasting perspectives; |
| - |
Portfolio management techniques
based on high frequency data systems. |
GRETA's long experience in
the fields of both theoretical and applied research and the
consultancy activity developed for financial agents enables
us to guarantee a highly qualified and specifically calibrated
consultancy service. |
