Author: Justin Sibears (Page 1 of 12)
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.
Failure to meet your financial objectives can take one of two forms: fast failure and slow failure. Failing fast involves suffering large losses at the wrong time as the result of taking too much risk. Failing slow involves achieving insufficient growth due to taking too little risk.
Corey Hoffstein
Justin Sibears
Nathan Faber
Timing Equity Returns Using Monetary Policy
By Justin Sibears
On September 4, 2018