Hey Carlos, very cool right up, I've worked a fair amount on market neutral strategies myself (and also have a first loss setup running for about a year now). Wanted to know if you'd had a look at some of Zura Kakushadze's work (Mean-Reversion and Optimization, Heterotic Risk Models, Multifactor Risk Models and Heterotic CAPM, etc)? Read…
Hey Carlos, very cool right up, I've worked a fair amount on market neutral strategies myself (and also have a first loss setup running for about a year now). Wanted to know if you'd had a look at some of Zura Kakushadze's work (Mean-Reversion and Optimization, Heterotic Risk Models, Multifactor Risk Models and Heterotic CAPM, etc)? Reading this article, I immediately thought of some of his papers. I'd love to see you unpack some of the ideas in his papers if you think it'd be a good fit :)
Also, care to share which first loss allocators you've chatted with? I can give a few recs as well if you'd like.
Hey Carlos, very cool right up, I've worked a fair amount on market neutral strategies myself (and also have a first loss setup running for about a year now). Wanted to know if you'd had a look at some of Zura Kakushadze's work (Mean-Reversion and Optimization, Heterotic Risk Models, Multifactor Risk Models and Heterotic CAPM, etc)? Reading this article, I immediately thought of some of his papers. I'd love to see you unpack some of the ideas in his papers if you think it'd be a good fit :)
Also, care to share which first loss allocators you've chatted with? I can give a few recs as well if you'd like.
Best,
Richard
Hi Richard! Thanks! I haven't read Zura Kakushadze's work yet, but I will look into it. Re first loss, I will send you an emai.. Cheers!