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Portfolio management with big data

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Abstract
The purpose of this survey is to summarize the academic literature that studies some of the ways in which portfolio management has been affected in recent years by the availability of big datasets: many assets, many characteristics for each of them, many macro predictors, and various sources of unstructured data. Thus, we deliberately focus on applications rather than methods. We also include brief reviews of the financial theories underlying asset management, which provide the relevant background to assess the plethora of recent contributions to such an active research field.

Suggested Citation

  • Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
    • Handle: RePEc:cmf:wpaper:wp2024_2411
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    More about this item

    Keywords

    Conditioning information; intertemporal portfolio decisions; machine learning; mean-variance analysis; stochastic discount factors.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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