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The alpha you got makes absolutely sense but compared to the Fama French market, i.e. stock market. It does not take into consideration the characteristics of the crypto market (return, variance, skew, etc.). Therefore, I would build another fair value model based on crypto market.


Is the formula for code #1 $\max D(S)=\frac{S^{\top}\Sigma_S}{\sqrt{S^{\top}V_S S}}$? or is it $\max D(S)=\frac{1}{\sqrt{S^{\top}V_S S}}$ s.t. constraints $\Gamma$? Both appear on the same page, 41, in paper #1. and is formula for code #2 $\min \frac{1}{2}\mathbf{w}^{\top}\Sigma\mathbf{w}$ s.t. $w_i\geq 0$, $\mathbf{w^{\top}}\boldsymbol{\sigma}=1$ from ...


One common way to construct portfolio is a high - low factor portfolio. First you sort the asset classes based on a particular factor. For example if the regression co-ef is positive implying positive risk premia, you sort them in ascending order of the factor, and opposite for negative co-ef. After that you percentile this sorted series and decide a ...


The Markowitz mean-variance model takes in some target expected portfolio return $\mu_T$ as an input and returns optimal portfolio weights $\boldsymbol\omega$ that minimize risk for that return. Repeating this for a series of target returns, $\boldsymbol\mu_T$, manifests two different efficient frontier curves (series of efficient portfolios) depending on ...

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