Liquidity Premium with Adam Butler (S1E8)
Flirting with Models
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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