Skewness · Coskewness · Transformer pairs trading · 52-week anchors · Crypto factors
Boy, your article is simply lovely. I love to read your summary and I wanna directly reproduce some of these papers.
A valuable research roundup. The common thread is that portfolio shape matters as much as average return. Skewness, coskewness and turnover can explain why two strategies with a similar CAGR feel completely different to hold.
Boy, your article is simply lovely. I love to read your summary and I wanna directly reproduce some of these papers.
A valuable research roundup. The common thread is that portfolio shape matters as much as average return. Skewness, coskewness and turnover can explain why two strategies with a similar CAGR feel completely different to hold.