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...

This paper presents mean-variance portfolio optimisation as a regression problem. More specifically, we examine different types of mean-variance analysis as a series of related regression models. We use these models to leverage the variety of inference available from least squares regression and...

We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...