On Building Diversified Portfolios That Outperform Out-of-Sample

Careful, It is all about prior

James Rafco
Analytics Vidhya
Published in
6 min readNov 1, 2020

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Quantitative finance is all about finding trading strategies using past data to generate returns in the future. In a machine learning dialect, futures returns are by definition out-of-sample so any trading strategy that (out)performs out-of-sample is the Graal.

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