How to combine a billion alphas
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DOI: 10.1057/s41260-016-0004-9
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References listed on IDEAS
- Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Papers 1501.05381, arXiv.org, revised Oct 2015.
- Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Risks, MDPI, vol. 3(4), pages 1-17, November.
- Zura Kakushadze, 2016. "Shrinkage=factor model," Journal of Asset Management, Palgrave Macmillan, vol. 17(2), pages 69-72, March.
- Zura Kakushadze, 2014. "Factor Models for Alpha Streams," Papers 1406.3396, arXiv.org, revised Oct 2014.
- Zura Kakushadze, 2014. "Combining Alpha Streams with Costs," Papers 1405.4716, arXiv.org, revised Jan 2015.
- Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
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Cited by:
- Zura Kakushadze & Willie Yu, 2018. "Decoding stock market with quant alphas," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 38-48, January.
- Zura Kakushadze, 2020. "Quant Bust 2020," Papers 2006.05632, arXiv.org.
- Zura Kakushadze & Willie Yu, 2018. "Dead alphas as risk factors," Journal of Asset Management, Palgrave Macmillan, vol. 19(2), pages 110-115, March.
- Zura Kakushadze & Willie Yu, 2017. "*K-means and Cluster Models for Cancer Signatures," Papers 1703.00703, arXiv.org, revised Jul 2017.
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Keywords
Alpha; Optimization; Regression; Principal component; Correlation; Sharpe ratio;All these keywords.
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