Weekend Reads - Sep 21, 2024

How Machine Learning Is Transforming Portfolio Optimization; Volatility Depends On The Resolution; What Happens If You Measure Hedge Fund Returns Properly?; and more...

• How Machine Learning Is Transforming Portfolio Optimization (Enterprising Investor)

• Volatility Depends On The Resolution (Party at the Moontower)

• What Happens If You Measure Hedge Fund Returns Properly? (Klement on Investing)

• Diversifying Equity Portfolios (Verdad)

• Should You Invest in the SG CTA Index? (Disciplined Systematic Global Macro Views)

• Global Wealth Report 2024 (UBS)

• What are Allocators Buying and Selling? (Vanguard)

• Volatility Targeting and Momentum Timing (QuantSeeker)

• Gary Antonacci - New Models & Research Updates (🎧 The Algorithmic Advantage)

• Understanding India's Pensions Disaster (📺 Amit Varma)

• Machine Learning Model Homotopy (Win Vector)

• Some Slopes Are Slippery For Real (Anticipating The Unintended)

• The Risk and Reward of Investing by Doeswijk and Swinkels (SSRN)

• Fundamental Properties of Linear Factor Models by Filipovic and Schneider (arXiv)

• New Issuance Premium as a Corporate Bond Factor by Traczyk (SSRN)

• Understanding the Performance of Currency Basis-Momentum by Fan et al. (SSRN)

• Cross-Sectional Variation of Risk-targeting Option Portfolios by Wu and Xu (SSRN)

• Intrinsic Value: A Solution to the Declining Performance of Value Strategies by Bergen et al. (SSRN)