Regarding the Micro Alpha's course from Dr. Tom which I had purchased. Where is it shown in Python how to combine the Alpha's with low corellation… Is there any notebook or python demo of the same.
Hi Samir,
You can check section 24 which talks about mean/variance optimization. Here, you are optimising the risk-adjusted returns of the combined alphas taking into account the covariance matrix, by weighting the different components.
Hope this helps.