Replacing linear factors with a non-linear, characteristic approach in quant equity
Flirting with Models
Is Compressing Your Factors a Good Thing?
There's no hedge-related risk factor product that earns a negative expected return in exchange for risk hedging. No one has figured out what risks this multitude of factors is meant to price. Mueller: It's characteristics that drive return, but co-variances are driving returns. He says the relationship between characteristics and returns is nonlinear.
00:00
Transcript
Play full episode
Remember Everything You Learn from Podcasts
Save insights instantly, chat with episodes, and build lasting knowledge - all powered by AI.
