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Lecture
Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
This lecture covers the use of linear strategies in quantitative risk management, focusing on translating signals into portfolio positions and exploiting predictability. It discusses the construction of simple tradable factors and the potential of cross-predictability. The instructor presents empirical results and theoretical frameworks related to asset pricing tests, emphasizing the power of principal portfolio analysis.