Matches in SemOpenAlex for { <https://semopenalex.org/work/W2150817518> ?p ?o ?g. }
- W2150817518 abstract "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 (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 rectified by imposing bounds on alpha weights within the regression procedure. Bounded regression can also be applied to stock and other asset portfolio construction. We discuss illustrative examples." @default.
- W2150817518 created "2016-06-24" @default.
- W2150817518 creator A5019796246 @default.
- W2150817518 date "2015-01-01" @default.
- W2150817518 modified "2023-10-18" @default.
- W2150817518 title "Combining Alphas via Bounded Regression" @default.
- W2150817518 cites W1479867861 @default.
- W2150817518 cites W1533283941 @default.
- W2150817518 cites W1647779468 @default.
- W2150817518 cites W1656563301 @default.
- W2150817518 cites W1758272468 @default.
- W2150817518 cites W1816865121 @default.
- W2150817518 cites W185892825 @default.
- W2150817518 cites W1910448625 @default.
- W2150817518 cites W1918957135 @default.
- W2150817518 cites W1935769857 @default.
- W2150817518 cites W1936891174 @default.
- W2150817518 cites W1967346054 @default.
- W2150817518 cites W1976352744 @default.
- W2150817518 cites W1976551585 @default.
- W2150817518 cites W1984697146 @default.
- W2150817518 cites W1986378960 @default.
- W2150817518 cites W1991797724 @default.
- W2150817518 cites W1994623385 @default.
- W2150817518 cites W1998146322 @default.
- W2150817518 cites W2009087022 @default.
- W2150817518 cites W2009923109 @default.
- W2150817518 cites W2021355027 @default.
- W2150817518 cites W2021807473 @default.
- W2150817518 cites W2029641792 @default.
- W2150817518 cites W2041823389 @default.
- W2150817518 cites W2045513909 @default.
- W2150817518 cites W2052890323 @default.
- W2150817518 cites W2069346436 @default.
- W2150817518 cites W2085004141 @default.
- W2150817518 cites W2086705997 @default.
- W2150817518 cites W2095434538 @default.
- W2150817518 cites W2096918774 @default.
- W2150817518 cites W2098487960 @default.
- W2150817518 cites W2099450119 @default.
- W2150817518 cites W2107539208 @default.
- W2150817518 cites W2109635221 @default.
- W2150817518 cites W2114279714 @default.
- W2150817518 cites W2114665645 @default.
- W2150817518 cites W2115580984 @default.
- W2150817518 cites W2121562790 @default.
- W2150817518 cites W2121746424 @default.
- W2150817518 cites W2128759005 @default.
- W2150817518 cites W2132210054 @default.
- W2150817518 cites W2139576872 @default.
- W2150817518 cites W2143220546 @default.
- W2150817518 cites W2147981167 @default.
- W2150817518 cites W2154683801 @default.
- W2150817518 cites W2155681181 @default.
- W2150817518 cites W2156577211 @default.
- W2150817518 cites W2166029977 @default.
- W2150817518 cites W2185426459 @default.
- W2150817518 cites W2752488997 @default.
- W2150817518 cites W3122976953 @default.
- W2150817518 cites W3123641658 @default.
- W2150817518 cites W3123884320 @default.
- W2150817518 cites W3123959757 @default.
- W2150817518 cites W3124990890 @default.
- W2150817518 cites W3125810158 @default.
- W2150817518 cites W3126082197 @default.
- W2150817518 cites W2040500499 @default.
- W2150817518 doi "https://doi.org/10.2139/ssrn.2550335" @default.
- W2150817518 hasPublicationYear "2015" @default.
- W2150817518 type Work @default.
- W2150817518 sameAs 2150817518 @default.
- W2150817518 citedByCount "3" @default.
- W2150817518 countsByYear W21508175182015 @default.
- W2150817518 countsByYear W21508175182016 @default.
- W2150817518 countsByYear W21508175182020 @default.
- W2150817518 crossrefType "journal-article" @default.
- W2150817518 hasAuthorship W2150817518A5019796246 @default.
- W2150817518 hasBestOaLocation W21508175182 @default.
- W2150817518 hasConcept C105795698 @default.
- W2150817518 hasConcept C134306372 @default.
- W2150817518 hasConcept C149782125 @default.
- W2150817518 hasConcept C33923547 @default.
- W2150817518 hasConcept C34388435 @default.
- W2150817518 hasConceptScore W2150817518C105795698 @default.
- W2150817518 hasConceptScore W2150817518C134306372 @default.
- W2150817518 hasConceptScore W2150817518C149782125 @default.
- W2150817518 hasConceptScore W2150817518C33923547 @default.
- W2150817518 hasConceptScore W2150817518C34388435 @default.
- W2150817518 hasLocation W21508175181 @default.
- W2150817518 hasLocation W21508175182 @default.
- W2150817518 hasLocation W21508175183 @default.
- W2150817518 hasOpenAccess W2150817518 @default.
- W2150817518 hasPrimaryLocation W21508175181 @default.
- W2150817518 hasRelatedWork W1598979804 @default.
- W2150817518 hasRelatedWork W2018828049 @default.
- W2150817518 hasRelatedWork W2042726902 @default.
- W2150817518 hasRelatedWork W2046712581 @default.
- W2150817518 hasRelatedWork W2136053165 @default.
- W2150817518 hasRelatedWork W2148351559 @default.
- W2150817518 hasRelatedWork W2224648581 @default.
- W2150817518 hasRelatedWork W2892361052 @default.