Liquidity Premium with Adam Butler (S1E8)
Flirting with Models
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The Challenges With Optimization
We've been leaning heavily on concepts like bagging, unsupervised learning. You're creating clusters of similar assets and then you use those clusters to create a structured re-sampling process. And it's funny because the idea of shrinkage is linked to re-Sampling, is linked to regularization and an optimization process itself is linked to constraints. The long only constraint does a miraculous job of producing much more stable portfolios.
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