This week we would like to share with you a selection of publications from various sources so that you can learn and debate about it. Papers are either coming from the largest consultants, biggest Asset Managers, but also White Papers from top tier Universities. Let us know your views and discussion on the content through the forum.
Factor Models, Machine Learning and Asset Prices - AQR, Yale University, University of Chicago
We survey recent methodological contributions in asset pricing using factor models and machine learning. We organize these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the stochastic discount factor, as well as model comparison and alpha testing. We also discuss a variety of asymptotic schemes for inference. Our survey is a guide for financial economists interested in harnessing modern tools with rigor, robustness, and power to make new asset pricing discoveries, and it highlights directions for future research and methodological advances.
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Annual Crypto Hedge Fund Report
This report provides an overview of the global crypto hedge fund landscape and offers insights into both quantitative elements (such as liquidity terms, trading of cryptocurrencies, and performance) and qualitative aspects, such as best practice with respect to custody and governance.
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