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Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)
Flirting with Models
Incorporating Short-Term Signals in Portfolio Construction
The paper co-authored with Michael Katz deals with a problem of incorporating short term signals in portfolio construction while maintaining the efficiency of long-term signals/nThe proposed solution was to use short-term signals to effect trades while long-term signals determine the portfolio itself/nInformed trading algorithm reduces the turnover of the strategy and allows for more aggressive trading while adding short-term information to the model/nBy using informed trading in portfolio construction, exposure to long-term signal can be increased while adding exposure to short-term signal without taking a haircut on existing model
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