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The Different Types of Alphas at Higher Frequency Factors
I think about it from the utility function of the asset manager running a number of strategies, knowing that there's going to be estimation error. It almost seems like, nefariously in a certain way, you might want to introduce noise randomly to your risk measures among different strategies. How robust is the portfolio construction to those errors? And if it's not very robust, I think that's a concern. If there are ways to increase the robustness, I Think that's attractive.