Stock portfolio design and backtest overfitting
David H. Bailey, Jonathan M. Borwein and Marcos López de Prado
| Year of publication: |
2017
|
|---|---|
| Authors: | Bailey, David H. ; Borwein, Jonathan M. ; López de Prado, Marcos M. |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 15.2017, 1, p. 75-87
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| Subject: | Backtest | historical simulation | backtest overfitting | investment strategy | optimization | Sharpe ratio | minimum backtest length | Portfolio-Management | Portfolio selection | Statistischer Test | Statistical test | Risikomaß | Risk measure | Simulation | Theorie | Theory | Kapitalanlage | Financial investment | Anlageverhalten | Behavioural finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011700609