Noise Fit, Estimation Error and a Sharpe Information Criterion: Linear Case-Reference-Cited by-同舟云学术

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Noise Fit, Estimation Error and a Sharpe Information Criterion: Linear Case

Published:2016 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Paulsen Dirk,SShl Jakob

Publisher

Elsevier BV

Reference32 articles.

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2. A Bayesian analysis of the minimum AIC procedure;H Akaike;Selected Papers of Hirotugu Akaike,1998

3. Information theory and an extension of the maximum likelihood principle;H Akaike;Selected Papers of Hirotugu Akaike,1998

4. The deflated Sharpe ratio: Correcting for selection bias, backtest overfitting, and non-normality;D H Bailey;Journal of Portfolio Management,2014

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