Laurence Irlicht

We don’t have enough information about this author to calculate their statistics. If you think this is an error let us know.
Learn More
Institutional equity portfolios are typically constructed via taking expected stock returns and then applying the computationally expensive processes of covariance matrix estimation and mean-variance optimization. Unfortunately, these computational costs make it prohibitive to comprehensively backtest and tune higher frequency strategies over long(More)
Readers may only download, print and save electronic copies of whole works for their own personal non-commercial use. Any use that exceeds these limits requires permission from the copyright owner. Attribution is essential when quoting or paraphrasing from these works.
  • 1