Author: Justin Sibears (Page 1 of 12)
We explore the relationship between equity returns and contractionary/expansionary monetary policy regimes using a simple simulation-based framework.
We two novel algorithms, one based on machine learning and the other based on simulation, to manage estimation risk in portfolio optimization.
Factor portfolio construction has two key elements: ingredients (the signals used to pick investments) and recipe (the rules used to translate those signals into allocations). While the ingredients often get the most focus, the recipe can have just as large of an impact on returns.
Corey Hoffstein
Justin Sibears
Nathan Faber
Managing Equity Risk When Rates Rise
By Justin Sibears
On October 9, 2018