英文标题：
《Combining Alpha Streams with Costs》
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作者：
Zura Kakushadze
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最新提交年份：
2015
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英文摘要：
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) costs 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 costs 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.
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中文摘要：
我们讨论了在同一执行平台上交易的多个alpha流的投资分配，并指出了在没有交叉的单独执行平台上交易alpha流与分配投资的区别。首先，在后一种情况下，分配权重是非负的，而在前一种情况下，分配权重可以是负的。第二，在这两种情况下，由于交易交叉时营业额减少，线性和非线性（影响）成本的影响是不同的。第三，营业额减少取决于交易阿尔法流的范围，因此，如果一些阿尔法流的分配为零，则需要重新计算营业额减少，因此需要一个迭代过程。我们讨论了一种求解具有交叉和线性代价的分配权重的算法。我们还讨论了当非线性成本增加时的一个简单近似，使得分配问题易于处理，同时仍然捕获非线性投资组合容量限制效应。我们还将“带成本的回归”定义为带成本的优化限制，这在阿尔法协方差矩阵奇异的情况下非常有用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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