Market-Regime-Adaptive Weights
This model dynamically updates factor weights based on changing market relevance, allowing continuous and automatic regime adaptation.
Adaptive Weight Update Rule
wᵢ(t) = wᵢ(t−1) · e−λ ΔRᵢ(t)
Interactive Market-Regime Weight Update Simulator
| Factor (i) | wᵢ(t−1) | ΔRᵢ(t) | wᵢ(t) |
|---|
Interpretation:
Updated weights reflect alignment with the current market regime. Factor importance evolves smoothly without abrupt rebalancing.
Updated weights reflect alignment with the current market regime. Factor importance evolves smoothly without abrupt rebalancing.
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