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.
Ashby Monk
is the executive and research director for the Global Projects Center at Stanford University in Palo Alto, CA.
Sidney Porter
is the chief data scientist at FEV Analytics Corp in Kirkland, WA.

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The Journal of Portfolio Management
Vol. 45, Issue 1
Fall 2018
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
- Supplemental
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