Quantitative Portfolio Management

Wolfgang Geiselhart and Patrick Gügi
Investment Research Department, Credit Suisse
Wolfgang-J.Geiselhart@ska.com

Abstract

The Credit Suisse Investment Models (CSIM) provide a successfull approach to the use of strong computer power to introduce quantitative models into the investment process. Important for the acceptance of this approach is that the results of Modern Portfolio Theory are integrated into the demanding technical environment of a major company and presented in a customer-oriented manner. The paper gives an overview of the CSIM focussing especially on valuation models. For the latter a practical classification is given, their implementation in the investment process is described and empirical results are presented.