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Search: subject:"Backtest"
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Theorie
24
Theory
24
Portfolio selection
17
Portfolio-Management
17
Backtest
16
Risikomaß
16
Risk measure
16
backtest
16
Forecasting model
12
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12
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12
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12
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7
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7
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7
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7
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7
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5
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5
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4
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4
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4
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4
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4
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4
backtest overfitting
4
historical simulation
4
multiple testing
4
optimization
4
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3
Expected shortfall
3
Hedging
3
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3
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3
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3
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3
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16
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34
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12
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40
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5
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Hoogerheide, Lennart F.
4
López de Prado, Marcos M.
4
Ravazzolo, Francesco
4
Witzany, Jiří
4
Auer, Benjamin R.
3
Dijk, Herman K. van
3
Mögel, Benjamin
3
Bailey, David H.
2
Borwein, Jonathan M.
2
Chuang, Chung-Chu
2
Chuang, Shuo-Li
2
Coppola, Mariarosaria
2
D'Amato, Valeria
2
Kou, Steven
2
Paolella, Marc S.
2
Peng, Xianhua
2
Pitera, Marcin
2
Schinas, C. J.
2
Vezeris, D. Th.
2
Wang, Yi-Hsien
2
Yeh, Tsai-Jung
2
Aggarwal, Shalini
1
Alfonsi, Aurélien
1
Bizergianidou, V. A.
1
Bizergianidou, Vasiliki
1
Blanc, Pierre
1
Blumberg, Stefano B.
1
Bonaccolto, Giovanni
1
Caporin, Massimiliano
1
Chen Zhou
1
Cheng, Siwei
1
Colivicchi, Ilaria
1
Dionne, Georges
1
Du, Zaichao
1
Firoozye, Nikan B.
1
Fissler, Tobias
1
Flennerhag, Sebastian
1
Gebbie, T. J.
1
Groll, Christian
1
Hassani, Samir Saissi
1
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Magyar Nemzeti Bank (MNB)
1
Tinbergen Institute
1
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1
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Quantitative finance
3
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2
Investment management and financial innovations
2
Journal of banking & finance
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Tinbergen Institute Discussion Papers
2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
International journal of public sector performance management : IJPSPM
1
International review of financial analysis
1
Journal of Risk Finance
1
Journal of financial engineering
1
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1
Journal of mathematical finance
1
Journal of risk
1
Journal of risk & control
1
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1
Market microstructure and liquidity
1
Operations research
1
Physica A: Statistical Mechanics and its Applications
1
Review of quantitative finance and accounting
1
Risks
1
Risks : open access journal
1
The Journal of Risk Finance
1
The journal of computational finance
1
The journal of credit risk : published quarterly by Incisive Media
1
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1
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ECONIS (ZBW)
34
RePEc
6
EconStor
5
Other ZBW resources
1
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1
QuantNet : transferring learning across trading strategies
Koshiyama, Adriano
;
Blumberg, Stefano B.
;
Firoozye, Nikan B.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1071-1090
Persistent link: https://www.econbiz.de/10013367886
Saved in:
2
Backtesting systemic risk forecasts using multi-objective elicitability
Fissler, Tobias
;
Hoga, Yannick
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
2
,
pp. 485-498
Persistent link: https://www.econbiz.de/10015053421
Saved in:
3
Powerful backtests for historical simulation expected shortfall models
Du, Zaichao
;
Pei, Pei
;
Wang, Xuhui
;
Yang, Tao
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 864-874
Persistent link: https://www.econbiz.de/10015053499
Saved in:
4
A bayesian approach to measurement of
backtest
overfitting
Witzany, Jiří
- In:
Risks
9
(
2021
)
1
,
pp. 1-22
ongoing discussion of how to estimate the probability of
backtest
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10013200688
Saved in:
5
A bayesian approach to measurement of
backtest
overfitting
Witzany, Jiří
- In:
Risks : open access journal
9
(
2021
)
1/18
,
pp. 1-22
ongoing discussion of how to estimate the probability of
backtest
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10012423034
Saved in:
6
A Bayesian Approach to
Backtest
Overfitting
Witzany, Jiří
-
2017
ongoing discussion how to estimate the probability of
back-test
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10011787307
Saved in:
7
A Bayesian approach to
backtest
overfitting
Witzany, Jiří
-
2017
ongoing discussion how to estimate the probability of
back-test
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10011722180
Saved in:
8
An empirical investigation of multiperiod tail risk forecasting models
Zhang, Ning
;
Su, Xiaoman
;
Qi, Shuyuan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014248332
Saved in:
9
Causal factor investing : can factor investing become scientific?
López de Prado, Marcos M.
-
2023
, their findings are likely false, due to rampant
backtest
overfitting and incorrect specification choices. This Element …
Persistent link: https://www.econbiz.de/10014466787
Saved in:
10
Leveraging technical analysis and artificial intelligence - optimisation of global portfolio management through world indices
Kulshrestha, Nitin
;
Kamra, Vishal
;
Aggarwal, Shalini
- In:
International journal of public sector performance …
12
(
2023
)
3
,
pp. 445-461
Persistent link: https://www.econbiz.de/10014430812
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