英文标题：
《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：
众所周知，将多个对冲基金alpha streams组合在一起，可以为最终的投资组合带来多元化收益。此外，不同alpha流之间的交叉交易降低了交易成本。随着阿尔法流数量的增加，随着更多交易的交叉，投资组合的相对周转率降低。然而，我们认为，在合理的假设下，随着Alpha数量的增加，营业额不会无限期减少；相反，周转率接近与投资组合Alpha的相关性结构相关的非消失极限。我们还指出，更一般地说，当Alpha的数量很大时，可能会出现计算简化。
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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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