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AI For Alpha
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Volatility targeting, Supervised learning, Best ordering, Model-based and Portfolio allocation, Walk-forward and Features selection.
Decoding, risk management
Machine Learning, GBDT
regime changes, regime detection, machine learning
market crash, GBDT, Shapley
Marginal contribution, Sharpe, Treynor, recovery and incremental Sharpe ratio, portfolio analysis
Omega ratio, Sharpe ratio, normal distribution, elliptical distribution
CMA ES, Bayesian, conjugate prior, normal Wishart, normal inverse Wishart, mixture models
Deep Reinforcement Learning, Portfolio Allocation
Geary Theorem, Levy Cramer Theorem, Independence Between Sample Mean and Variance
C12, G11
Imbalanced data
