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Bailey, David H.


 SSRN Author Rank: 581 by Downloads
 Retired
 

Lawrence Berkeley National Laboratory


 One Cyclotron Road
 Berkeley, CA 94720
 United States
 HOME PAGE: http://www.davidhbailey.com
 email address
 Research Fellow
 

University of California, Davis


 One Shields Avenue
 Davis, CA 95616
 United States
 HOME PAGE: http://www.davidhbailey.com
 email address

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. Bailey, David H.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
23,705
Total
Citations
5
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance | Show Abstract | Download This Paper | Open PDF in Browser |
Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of Pages in PDF File: 14
Bailey, David H.
Lawrence Berkeley National Laboratory
Borwein, Jonathan M.
Royal Society of Canada
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
12 Aug 13
Last Revised:
14 Apr 14
6,107
(559)
1

2.  
The Sharpe Ratio Efficient Frontier | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of Pages in PDF File: 36
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
24 Apr 11
Last Revised:
23 Apr 14
5,355
(690)
3

3.  
The Probability of Backtest Overfitting | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of Pages in PDF File: 34
Bailey, David H.
Lawrence Berkeley National Laboratory
Borwein, Jonathan M.
Royal Society of Canada
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
16 Sep 13
Last Revised:
03 Mar 15
3,472
(1,478)
 

4.  
Balanced Baskets: A New Approach to Trading and Hedging Risks | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of Pages in PDF File: 44
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
24 May 12
Last Revised:
08 Sep 12
1,823
(4,589)
1

5.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Jan 13
Last Revised:
25 Mar 13
1,817
(4,615)
 

6.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
del Pozo, Eva
Universidad Complutense de Madrid (UCM)
Posted:
15 Feb 12
Last Revised:
20 Jan 14
1,712
(5,118)
 

7.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 Jan 13
Last Revised:
20 Oct 14
1,481
(6,586)
 

8.  
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue).
Number of Pages in PDF File: 22
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
01 Jul 14
Last Revised:
11 Nov 14
980
(12,884)
 

9.  
Statistical Overfitting and Backtest Performance | Show Abstract | Download This Paper | Open PDF in Browser |
"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 (Forthcoming).
Number of Pages in PDF File: 10
Bailey, David H.
Lawrence Berkeley National Laboratory
Ger, Stephanie
Northwestern University - Department of Engineering Sciences and Applied Mathematics
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Sim, Alexander
Lawrence Berkeley National Laboratory
Wu, Kesheng
Lawrence Berkeley National Laboratory
Posted:
09 Oct 14
Last Revised:
23 May 15
449
(38,773)
 

10.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Borwein, Jonathan M.
Royal Society of Canada
Salehipour, Amir
University of Newcastle, Australia
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
23 Apr 15
214
(90,388)
 

11.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
20 Oct 14
199
(97,163)
 

12.  
Mathematical Appendices to: 'The Probability of Backtest Overfitting' | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of Pages in PDF File: 8
Bailey, David H.
Lawrence Berkeley National Laboratory
Borwein, Jonathan M.
Royal Society of Canada
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
23 Feb 15
Last Revised:
03 Mar 15
96
(176,794)
 


Records 1 - 12 of 12 matches
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