Showing 1 - 10 of 11,660
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/10013412541
Persistent link: https://www.econbiz.de/10008907293
Persistent link: https://www.econbiz.de/10013454976
Persistent link: https://www.econbiz.de/10003377086
Persistent link: https://www.econbiz.de/10003907747
Persistent link: https://www.econbiz.de/10008666163
Persistent link: https://www.econbiz.de/10008908873
Persistent link: https://www.econbiz.de/10003959539