Noise fit, estimation error and a Sharpe information criterion

DOI10.1080/14697688.2020.1718746zbMath1454.91234arXiv1602.06186OpenAlexW3123656533MaRDI QIDQ5139211

Dirk Paulsen, Jakob Söhl

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.06186

zbMATH Keywords

model selectionAkaike information criterionSharpe ratioAICestimation errornoise fitoverfitSharpe ratio information criterion

Mathematics Subject Classification ID

Point estimation (62F10) Portfolio theory (91G10)

Uses Software

• SharpeR

Cites Work

• Unnamed Item
• Unnamed Item
• On the Realized Risk of High-Dimensional Markowitz Portfolios
• Performance of Portfolios Optimized with Estimation Error
• Estimation for Markowitz Efficient Portfolios
• Model Selection and Multimodel Inference
• Asymptotic Inference about Predictive Ability
• A new look at the statistical model identification
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Noise fit, estimation error and a Sharpe information criterion