英文标题：
《Can Turnover Go to Zero?》
---
作者：
Zura Kakushadze
---
最新提交年份：
2014
---
英文摘要：
Internal crossing of trades between multiple alpha streams results in portfolio turnover reduction. Turnover reduction can be modeled using the correlation structure of the alpha streams. As more and more alphas are added, generally turnover reduces. In this note we use a factor model approach to address the question of whether the turnover goes to zero or a finite limit as the number of alphas N goes to infinity. We argue that the limiting turnover value is determined by the number of alpha clusters F, not the number of alphas N. This limiting value behaves according to the \"power law\" ~ F^(-3/2). So, to achieve zero limiting turnover, the number of alpha clusters must go to infinity along with the number of alphas. We further argue on general grounds that, if the number of underlying tradable instruments is finite, then the turnover cannot go to zero, which implies that the number of alpha clusters also appears to be finite.
---
中文摘要：
多个阿尔法流之间的内部交叉交易导致投资组合周转率降低。营业额减少可以使用阿尔法流的相关结构建模。随着Alpha的增加，营业额通常会减少。在本文中，我们使用因子模型的方法来解决当alphas N的数量变为无穷大时，营业额是变为零还是有限极限的问题。我们认为，周转率的极限值是由α簇的数量F决定的，而不是由α簇的数量N决定的。这个极限值的行为符合“幂律”~F^（-3/2）。因此，为了实现零极限周转率，阿尔法团簇的数量必须与阿尔法团簇的数量一起趋于无穷大。我们进一步基于一般理由认为，如果基础可交易工具的数量是有限的，那么交易量不能为零，这意味着阿尔法集群的数量似乎也是有限的。
---
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
--
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
--

---
PDF下载：
-->