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Jim Masturzo - Tactical Asset Allocation (S3E4)

Flirting with Models

CHAPTER

How Do You Generate Trades for Model Portfolios?

We use mean varians optimization for our signals. And that means variancs optimization is not a single optimization. It's actually a whole bunch of them. You think about a dozen or two dozen different model portfolios that we create. They're going to be driven largely by valuations. Some of those are driven by different, for lack of a better term, bench marks or reference portfolios,. High risk, low risk, inflation centric, duration heavy, whatever it happens to be. We build a whole lot of these and when we seize particular trades that that come out of these, you can look across these different regimes or perspectives. If the a system wants to overweight a particular asset in

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