President & CEO
Conference Day Two: March 20 2019
Tuesday, March 19th, 2019
- How to build risk models for short-horizon & ephemeral ML-based data-mined alphas?
- How to make the covariance matrix out-of-sample stable & invertible for short lookbacks?
- Can using ML-based methods (e.g., clustering) for building such risk models add value?
- Should PMs allocate resources for building custom risk models or use commercial ones?