Kalamazoo, MI 49008
United States
Western Michigan University
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2840838.pdf Size: 3140K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation
trend following trading rule, bull-bear switching model, partial information, HJB equations
Growth-optimal portfolio, risk management, Kelly Criterion, finite investment horizon, drawdown
Black Jack, betting size, risk management
Backtest overfitting, multiple testing, Sharpe Ratio, Deflated Sharpe Ratio, investment strategy
Dynamic portfolio, money management, risk control
risk analysis, growth portfolio, inflection point
Convex analysis, duality, mathematical finance
Interest rate risk, credit risk, balance sheet optimization, risk allocation, duality.
Option pricing interval, incomplete market, investment systems, the Kelly citerion, efficiency index, majorization, convex optimization
Lagrange Multiplier, duality, constrained optimization.