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- W1852202894 abstract "Misalignment between alpha and risk factors may create unintended bets in optimized portfolios, as shown analytically in Lee and Stefek (2008). In a March research insight, we introduced a way to mitigate this issue by penalizing the portion of the alpha not related to the risk factors, the 'residual alpha.' Here, we further illustrate this method with two signals commonly used by portfolio managers. The potential improvement from this method depends on the strategy in question, in particular the degree to which the misalignment of alpha and risk factors erodes information in optimization." @default.
- W1852202894 created "2016-06-24" @default.
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- W1852202894 date "2009-01-01" @default.
- W1852202894 modified "2023-10-16" @default.
- W1852202894 title "Refining Portfolio Construction by Penalizing Residual Alpha - Empirical Examples" @default.
- W1852202894 doi "https://doi.org/10.2139/ssrn.1425619" @default.
- W1852202894 hasPublicationYear "2009" @default.
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