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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...
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.Although hedge fund managers have earned some great fortunes, investors as a group have done quite poorly, particularly in recent … Why new and emerging hedge fund managers are where generally better returns are to be found, because most capital invested … is steered towards apparently safer but less profitable large, established funds rather than smaller managers that evoke …
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