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 give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...

Diese Dissertation besteht aus drei einzelnen Studien, welche nichtlineare Renditemuster von Hedge Fonds in Bezug auf traditionelle Anlageklassen untersuchen. Solche Renditemuster können von dynamischen Handelsstrategien wie z.B. Trend Following herrühren, oder aber auch durch Convergence...