Podrobná bibliografia
| Názov: |
Interview with Marcos López de Prado of Abu Dhabi Investment Authority (ADIA). |
| Autori: |
Fabozzi Editor, Frank J. (AUTHOR) |
| Zdroj: |
Journal of Portfolio Management. 2025 Portfolio Manager Perspectives, Vol. 51 Issue 8, p67-73. 7p. |
| Predmety: |
*QUANTITATIVE research, *INVESTMENT policy, MACHINE learning, CAUSAL models |
| Korporácia: |
ABU Dhabi (United Arab Emirates). Investment Authority |
| Abstrakt: |
The article focuses on the investment philosophy of Marcos López de Prado, particularly his concept of "microscopic alpha," which refers to subtle market anomalies that can be identified and monetized through advanced quantitative methods and technologies. López de Prado contrasts this with "macroscopic alpha," which can be captured using traditional investment strategies. He discusses the importance of specialized teams and collaboration in extracting microscopic alpha, as well as the challenges of overfitting in machine learning models used in finance. Additionally, he emphasizes the need for causal models over black-box algorithms to ensure transparency and effectiveness in investment strategies. [Extracted from the article] |
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| Databáza: |
Business Source Index |
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