AEGIS is a hierarchical optimization framework that uses volatility-adjusted momentum and minimax correlation to generate asymmetric alpha with reduced drawdowns in backtests.
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Taming the Black Swan: A Momentum-Gated Hierarchical Optimisation Framework for Asymmetric Alpha Generation
AEGIS is a hierarchical optimization framework that uses volatility-adjusted momentum and minimax correlation to generate asymmetric alpha with reduced drawdowns in backtests.