Machine Learning
Miquel Noguer Alonso, Executive Director, UBS & Adjunct Assistant Professor, Columbia University | September 19, 2017
Miquel explores the most common approaches and introduces a new framework to address the portfolio allocation problem in the different signal-factor-security spaces.
Active strategies face the challenge of combining information from different sources in order to maximize that information’s after-cost effectiveness. This challenge is evident for investors who follow a systematic, structured investment process. It is also an issue, although often unrecognized, for more traditional managers who must balance top-down views and the views of in-house and sell-side analysts.
In any case, a decision is made either through default, analysis, or whimsy. This task is commonly called signal weighting, although risk budgeting can be an alternative description. The approach is based on standard methods of portfolio analysis and their extension to dynamic portfolio management.
Recorded at RavenPack's 5th Annual Research Symposium , that took place September 19, 2017 in New York City.
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