The deflated Sharpe ratio : correcting for selection bias, backtest overfitting, and non-normality
Year of publication: |
September 2014
|
---|---|
Authors: | Bailey, David H. ; López de Prado, Marcos M. |
Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Pageant Media Ltd., ISSN 0095-4918, ZDB-ID 197145-1. - Vol. 40.2014, Special anniversary issue, p. 94-107
|
Subject: | Deflation | Prognoseverfahren | Forecasting model | Systematischer Fehler | Bias | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | USA | United States | Schätzung | Estimation | Theorie | Theory |
-
Uniform inference in predictive regression models
Chen, Willa W., (2013)
-
Can output-of-sample forecast comparisons help prevent overfitting?
Clark, Todd E., (2004)
-
Can out-of-sample forecast comparisons help prevent overfitting?
Clark, Todd E., (2000)
- More ...
-
Stop-outs under serial correlation and the triple penance rule
Bailey, David H., (2015)
-
The probability of backtest overfitting
Bailey, David H., (2017)
-
Stock portfolio design and backtest overfitting
Bailey, David H., (2017)
- More ...