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- W1479867861 abstract "We discuss investment allocation to multiple alpha streams traded on the same execution platform with internal crossing of trades and point out differences with allocating investment when alpha streams are traded on separate execution platforms with no crossing. First, in the latter case allocation weights are non-negative, while in the former case they can be negative. Second, the effects of both linear and nonlinear (impact) are different in these two cases due to turnover reduction when the trades are crossed. Third, the turnover reduction depends on the universe of traded alpha streams, so if some alpha streams have zero allocations, turnover reduction needs to be recomputed, hence an iterative procedure. We discuss an algorithm for finding allocation weights with crossing and linear costs. We also discuss a simple approximation when nonlinear are added, making the allocation problem tractable while still capturing nonlinear portfolio capacity bound effects. We also define regression with costs as a limit of optimization with costs, useful in often-occurring cases with singular alpha covariance matrix." @default.
- W1479867861 created "2016-06-24" @default.
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- W1479867861 date "2014-01-01" @default.
- W1479867861 modified "2023-09-26" @default.
- W1479867861 title "Combining Alpha Streams with Costs" @default.
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- W1479867861 doi "https://doi.org/10.2139/ssrn.2438687" @default.
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