Showing 1 - 10 of 23,430
Persistent link: https://www.econbiz.de/10012391386
Persistent link: https://www.econbiz.de/10009242252
Persistent link: https://www.econbiz.de/10014320674
Persistent link: https://www.econbiz.de/10008660620
Persistent link: https://www.econbiz.de/10012005216
Persistent link: https://www.econbiz.de/10009405307
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...
Persistent link: https://www.econbiz.de/10011402659
Persistent link: https://www.econbiz.de/10010462974
Persistent link: https://www.econbiz.de/10003263340
Persistent link: https://www.econbiz.de/10012318570