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...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2015-11-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/3/4/474 |