Optimal attention allocation: Picking alpha or betting on beta?
“In a two-phase formulation, the optimal attention strategy maximizes the combined expected alpha payoffs and expected beta payoffs of the portfolio.”
AssetMulti-asset
StrategyPortfolio optimizationmachine learning
TechniqueReinforcement learning
ClaimAlpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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