Kakushadze, Zura - In: Risks : open access journal 3 (2015) 4, pp. 474-490
We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical … compute alpha allocation weights, one then resorts to (weighted) regression over SCM principal components. Regression often … produces alpha weights with insufficient diversification and/or skewed distribution against, e.g., turnover. This can be …