Combining Alphas via Bounded Regression

Combining Alphas via Bounded Regression

We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to (we...

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Bibliographic Details
Main Author: Zura Kakushadze
Format: Article
Language:English
Published: MDPI AG 2015-11-01
Series:Risks
Subjects:
hedge fund
alpha stream
alpha weights
portfolio turnover
investment allocation
weighted regression
diversification
bounds
optimization
factor models
Online Access:http://www.mdpi.com/2227-9091/3/4/474

Internet

http://www.mdpi.com/2227-9091/3/4/474

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