Qu'est-ce que « IC-weighted blend, maximum-ICIR blend » ?

An IC-weighted blend sets each weight proportional to the signal’s past mean IC (zero if negative). A maximum-ICIR blend sets $w \propto \Sigma^{-1}\mu$, with $\mu$ the vector of the signals’ past mean ICs and $\Sigma$ the covariance of their IC time series: the weights that maximise the blended IC’s mean over its standard deviation.