MathiasKB🔸 comments on Weighted Factor Models: Consider using the geometric mean instead of the arithmetic mean

[MathiasKB🔸]

Naively, is there a case for using the average of the two?

[Joel Tan🔸]

I don’t see any strong theoretical reason to do so, but I might be wrong. In a way it doesn’t matter, because you can always rejig your weights to penalize/​boost one estimate over another.