英文标题：
《How to Combine a Billion Alphas》
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作者：
Zura Kakushadze and Willie Yu
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最新提交年份：
2016
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英文摘要：
We give an explicit algorithm and source code for computing optimal weights for combining a large number N of alphas. This algorithm does not cost O(N^3) or even O(N^2) operations but is much cheaper, in fact, the number of required operations scales linearly with N. We discuss how in the absence of binary or quasi-binary clustering of alphas, which is not observed in practice, the optimization problem simplifies when N is large. Our algorithm does not require computing principal components or inverting large matrices, nor does it require iterations. The number of risk factors it employs, which typically is limited by the number of historical observations, can be sizably enlarged via using position data for the underlying tradables.
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中文摘要：
我们给出了一个显式算法和源代码来计算组合大量N个字母的最佳权重。该算法不需要O（N^3）甚至O（N^2）运算，但成本要低得多，事实上，所需运算的数量与N成线性关系。我们讨论了在没有实际观察到的Alpha二元或准二元聚类的情况下，当N较大时，优化问题如何简化。我们的算法不需要计算主成分或求大矩阵的逆，也不需要迭代。它采用的风险因素的数量通常受到历史观察数量的限制，可以通过使用基础可交易资产的头寸数据进行大幅扩大。
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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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