This is a summary of links featured on Quantocracy on Thursday, 01/09/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Inverse Volatility Position Sizing [Alvarez Quant Trading]Recently Ive had several of my consulting clients come with a strategy that uses Inverse Volatility Position Sizing. The basic idea is that the more volatile positions have smaller size while the less volatile ones get a larger size. I have always been a fan of equal position sizing for several reasons. One, it is simple to do. Two, it is one less variable to optimize on and thus overfit on.