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#105 - Dr. MICHAEL OLIVER [CSO - Numerai]
Machine Learning Street Talk (MLST)
Is Your Portfolio Optimization Tuned?
No, we're not actually using the previous performance. It's really just stakes. The previous performance only enters into the fact that the good performance of the past would have made their stake grow over time. Any one model is only a very small percentage of the meta model. And it is a sort of like power law distribution. There is a lot of work that I've done in the portfolio optimization step.
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