All my homies hate LASSO
I fell out of love with LASSO. it's not you it's me baby :(
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A collection of 23 issues
Should you combine positions or signals? (Part I): Having your cake and eating it too
Let’s just assume we have 2 signals (Trend and Carry). How do we combine these signals together? Generally there are two broad ways of doing it:
1. Combining positions of the individual signals
2. Regress future returns against the signals to get expected returns of each asset
In this
Should you combine positions or signals? (Part II): Having your cake and eating it too
Do we actually have to extract assets' expected returns to harvest the benefits of factor model? Here we will talk about another approach where we can sum up our positions, and still integrate a factor risk model, without having to explicitly extract the expected returns of the underlying assets.