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Improving Investment Operations through Data Science: A Case Study of Innovation in Valuation

Arthur Guimarães, Ashby Monk and Sidney Porter
The Journal of Portfolio Management Fall 2018, 45 (1) 125-140; DOI: https://doi.org/10.3905/jpm.2018.1.083
Arthur Guimarães
is the chief operating officer and head of defined contribution at UC Investments in Oakland, CA.
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Ashby Monk
is the executive and research director for the Global Projects Center at Stanford University in Palo Alto, CA.
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Sidney Porter
is the chief data scientist at FEV Analytics Corp in Kirkland, WA.
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The Journal of Portfolio Management: 45 (1)
The Journal of Portfolio Management
Vol. 45, Issue 1
Fall 2018
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Improving Investment Operations through Data Science: A Case Study of Innovation in Valuation
Arthur Guimarães, Ashby Monk, Sidney Porter
The Journal of Portfolio Management Oct 2018, 45 (1) 125-140; DOI: 10.3905/jpm.2018.1.083

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Improving Investment Operations through Data Science: A Case Study of Innovation in Valuation
Arthur Guimarães, Ashby Monk, Sidney Porter
The Journal of Portfolio Management Oct 2018, 45 (1) 125-140; DOI: 10.3905/jpm.2018.1.083
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  • Article
    • Abstract
    • CASE STUDY: THE FAIR VALUE CONUNDRUM
    • THE INCUMBENT ROLL FORWARD PROCEDURE
    • DATA REQUIREMENTS
    • STUDY 1: FEASIBILITY OF ROLL FORWARD AUTOMATION (RESTRICTED TO CLASS 1 DATA INPUTS)
    • STUDY 2: WHAT PERFORMANCE IMPROVEMENTS CAN AUTOMATION UNLOCK?
    • LIMITATIONS OF THE ROLL FORWARD PROCEDURE
    • A REAL-LIFE EXAMPLE: LARGE EXPOSURES AND UNANTICIPATED VALUATIONS
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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