4 citations · 4 across the 2 of their papers we have counts for
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q-fin.PM2019
The Case for Long-Only Agnostic Allocation Portfolios
Pierre-Alain Reigneron, Vincent Nguyen, Stefano Ciliberti +2
We advocate the use of Agnostic Allocation for the construction of long-only portfolios of stocks. We show that Agnostic Allocation Portfolios (AAPs) are a special member of a fami…
q-fin.ST2019
How should you discount your backtest PnL?
Adam Rej, Philip Seager, Jean-Philippe Bouchaud
In-sample overfitting is a drawback of any backtest-based investment strategy. It is thus of paramount importance to have an understanding of why and how the in-sample overfitting…