  We give an explicit algorithm and source code for combining alpha streams via
bounded regression. In practical applications typically there is insufficient
history to compute a sample covariance matrix (SCM) for a large number of
alphas. To compute alpha allocation weights, one then resorts to (weighted)
regression over SCM principal components. Regression often produces alpha
weights with insufficient diversification and/or skewed distribution against,
e.g., turnover. This can be rectified by imposing bounds on alpha weights
within the regression procedure. Bounded regression can also be applied to
stock and other asset portfolio construction. We discuss illustrative examples.
