英文标题：
《Notes on Alpha Stream Optimization》
---
作者：
Zura Kakushadze
---
最新提交年份：
2015
---
英文摘要：
In these notes we discuss investment allocation to multiple alpha streams traded on the same execution platform, including when trades are crossed internally resulting in turnover reduction. We discuss approaches to alpha weight optimization where one maximizes P&L subject to bounds on volatility (or Sharpe ratio). The presence of negative alpha weights, which are allowed when alpha streams are traded on the same execution platform, complicates the optimization problem. By using factor model approach to alpha covariance matrix, the original optimization problem can be viewed as a 1-dimensional root searching problem plus an optimization problem that requires a finite number of iterations. We discuss this approach without costs and with linear costs, and also with nonlinear costs in a certain approximation, which makes the allocation problem tractable without forgoing nonlinear portfolio capacity bound effects.
---
中文摘要：
在这些说明中，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，包括交易在内部交叉导致营业额减少的情况。我们将讨论阿尔法权重优化的方法，即根据波动率（或夏普比率）的界限最大化损益。当alpha流在同一执行平台上交易时，允许出现负alpha权重，这使优化问题变得复杂。通过对α-协方差矩阵采用因子模型的方法，原始优化问题可以看作是一个一维的寻根问题加上一个需要有限次迭代的优化问题。我们讨论了这种无成本、有线性成本以及在某种近似下有非线性成本的方法，这使得分配问题在不放弃非线性投资组合容量约束效应的情况下易于处理。
---
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：
-->