有可能在Alpha上記錄OD嗎？

是 否 +2 論壇幣

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英文標(biāo)題：
《Is It Possible to OD on Alpha?》
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作者：
Zura Kakushadze and Jim Kyung-Soo Liew
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最新提交年份：
2018
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英文摘要：
  It is well known that combining multiple hedge fund alpha streams yields diversification benefits to the resultant portfolio. Additionally, crossing trades between different alpha streams reduces transaction costs. As the number of alpha streams increases, the relative turnover of the portfolio decreases as more trades are crossed. However, we argue, under reasonable assumptions, that as the number of alphas increases, the turnover does not decrease indefinitely; instead, the turnover approaches a non-vanishing limit related to the correlation structure of the portfolio\'s alphas. We also point out that, more generally, computational simplifications can arise when the number of alphas is large.
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中文摘要：
眾所周知，將多個(gè)對(duì)沖基金alpha streams組合在一起，可以為最終的投資組合帶來(lái)多元化收益。此外，不同alpha流之間的交叉交易降低了交易成本。隨著阿爾法流數(shù)量的增加，隨著更多交易的交叉，投資組合的相對(duì)周轉(zhuǎn)率降低。然而，我們認(rèn)為，在合理的假設(shè)下，隨著Alpha數(shù)量的增加，營(yíng)業(yè)額不會(huì)無(wú)限期減少；相反，周轉(zhuǎn)率接近與投資組合Alpha的相關(guān)性結(jié)構(gòu)相關(guān)的非消失極限。我們還指出，更一般地說(shuō)，當(dāng)Alpha的數(shù)量很大時(shí)，可能會(huì)出現(xiàn)計(jì)算簡(jiǎn)化。
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分類信息：

一級(jí)分類：Quantitative Finance        數(shù)量金融學(xué)
二級(jí)分類：Portfolio Management        項(xiàng)目組合管理
分類描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
證券選擇與優(yōu)化、資本配置、投資策略與績(jī)效評(píng)價(jià)
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