Kalamazoo, MI 49008
Western Michigan University
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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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File name: SSRN-id2840838.
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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
Dynamic portfolio, money management, risk control
risk analysis, growth portfolio, inflection point
Backtest overfitting, multiple testing, Sharpe Ratio, Deflated Sharpe Ratio, investment strategy
Option pricing interval, incomplete market, investment systems, the Kelly citerion, efficiency index, majorization, convex optimization
Convex analysis, duality, mathematical finance
Lagrange Multiplier, duality, constrained optimization.
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