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Nick Baltas - Multi-Asset, Multi-Strategy Portfolios (S7E3)

Flirting with Models

CHAPTER

The Challenges of Combining Signals in Cross-Asset Strategies

The speakers discuss the difficulties in combining different signals in cross-asset strategies, such as aligning units and interpreting risk. They emphasize the importance of expressing signals in a comparable and unitless way for effective portfolio optimization. The chapter also explores portfolio construction and the consideration of risk in the signal itself.

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