Lecture
This lecture delves into the complexities of selecting strategies in finance, emphasizing the challenges of choice overload and the importance of strategy performance evaluation. Topics include the illusion of control, strategy selection methods, the no-free lunch theorem, and the significance of strategy portfolios. The instructor explores the concept of strategy momentum, the learning process for strategy selection, and the evaluation of strategy performance through statistical tests. Additionally, the lecture covers the application of false discovery rate and family-wise error rate in strategy testing, as well as the use of dimension reduction techniques like PCA and random projections in finance.