This is a summary of links featured on Quantocracy on Tuesday, 01/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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How backtest overfitting in finance leads to false discoveries [Mathematical Investor]The present author, together with Marcos Lpez de Prado, has just published the article How backtest overfitting in finance leads to false discoveries in Significance, a journal of the British Statistical Society. The published article is now available at the Significance (Wiley) website. This article is condensed from the following manuscript, which is freely available from SSRN: Finance is Not
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Asset Allocation and Private Market (i.e. illiquid) Investing [Alpha Architect]Allocations to illiquid assets(1) have become increasingly popular, thus requiring asset managers to consider portfolio-wide liquidity characteristics. Although determining the price of illiquidity is a challenge for investors, the construction of a portfolio that includes liquidity constraints can be even more daunting. Improvised, or other less formal approaches to manage illiquidity, are less