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)