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Quantitative Equity Portfolio Management by Daehwan Kim, Ludwig B Chincarini

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CHAPTER 5Stock Screening and Ranking

Our life is frittered in detail … simplify, simplify.

—Henry David Thoreau

5.1 INTRODUCTION

The aim of quantitative equity portfolio management (QEPM) is to refine investing to a reliable, repeatable, quantitative method that avoids the biases and errors of purely qualitative stock picking. Stock screening is the ranking of stocks within the investment universe such that they are separated easily into those that are more favorable and those that are less favorable according to the views of the portfolio manager. Screening also can be used to narrow the investment universe. There are two kinds of stock screening, sequential and simultaneous. In sequential screening, the portfolio manager prioritizes his or ...

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