refining alpha

[ajsa]

Hi David,

could you explain what modified alpha is in portfolio construction? and how does scaling work?

thanks.

 

[sudeepdoon]

Hi,

I am also stuck around the same question !

I am not very sure if by "refining" are we aiming to remove all those products from our portfolio which do not satisfy the conditions for the "scaled" alpha.

Or is it that each of the position in the portfolio now has something called the "scaled" alpha which would be used for calculations.

Seems like I am missing some key element that would help me to solve the entire puzzle.

- Sudeep