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University of California, Davis
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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation
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backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation
Sharpe ratio, Efficient frontier, IID, Normal distribution, Skewness, Excess kurtosis, Track record
portfolio selection, quadratic programming, portfolio optimization, constrained efficient frontier, turning point, Kuhn-Tucker conditions, risk aversion
Sharpe ratio, Non-Normality, Probabilistic Sharpe ratio, Backtest overfitting, Minimum Track Record Length, Minimum Backtest Length
Trading baskets, hedging baskets, equal risk contribution, maximum diversification, subset correlation
Portfolio theory, Sharpe ratio, pairwise correlation, indifference curve, diversification
Downside, time under water, stop-out, triple penance, serial correlation, Sharpe ratio
Marker forecasters ranking; Guru ranking; Market forecast
backtest, historical simulation, probability of backtest overfitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation
backtest, historical simulation, backtest over-fitting, investment strategy, optimization, Sharpe ratio, performance degradation
Backtest overfitting, multiple testing, Sharpe Ratio, Deflated Sharpe Ratio, investment strategy
Selection bias, multiple testing, False Strategy theorem, experimental mathematics
