The Ledger
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Bonafede: Only reinforcement learning can dynamically moderate portfolio risk
“As it learns to maximize the reward, the model, I don't mean to give it human characteristics, but it will moderate risk because it can see that taking full advantage of the underlying patterns may not lead to the best reward, and there's No other optimization…”
Bonafede: Business schools still teach static linear models for portfolio construction
“All of the skills that are being taught are based on modern portfolio theory, which all of those, nearly all of those equations are in an APT framework or a linear regression framework, and even traditional optimization methods used for portfolio construction.…”
Bonafede: Traditional quant managers faltered in March and April 2020
“If you see how they performed during March and April, 2020, they faltered with all of the other quant managers and the products that they were selling to clients.”
Bonafede: AI investing will stay in absolute return before going long-term
“I think it's going to have to stay in places like absolute return, because really what these models are capable of, there's going to take a lot of research, but they're shorter term right now. Eventually the research will change to longer term.”
Bonafede: High onboarding costs hinder allocators from backing emerging managers
“I think it's difficult to onboard a manager in general, so I think probably the biggest hurdle to overcome is when we're an emerging women-led manager, so there's a lot of assets that are looking for opportunities to be able to help firms like us grow. However…”
Dunn: Verger Capital seeded Rosetta Analytics with $5M
“So we started with sort of a five million dollar investment and it grew from there. So we now have Four strategies with Rosetta, and three of them have been very, very successful. One of them has been turned off.”
Bonafede: Rosetta Analytics uses deep reinforcement learning for portfolio optimization
“So in our case, we use neural networks to make a directional prediction, but we have actually taken the neural network and we're using a concept called deep reinforcement learning, which is, you can think of it as a decision framework, but an optimization that…”