The deflated Sharpe ratio : correcting for selection bias, backtest overfitting, and non-normality
David H. Bailey and Marcos López de Prado
| Year of publication: |
September 2014
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|---|---|
| Authors: | Bailey, David H. ; López de Prado, Marcos M. |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Pageant Media Ltd., ISSN 0095-4918, ZDB-ID 197145-1. - Vol. 40.2014, Special anniversary issue, p. 94-107
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| Subject: | Schätztheorie | Estimation theory | Systematischer Fehler | Bias | Deflation | Portfolio-Management | Portfolio selection |
| 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://ebvufind01.dmz1.zbw.eu/10011433463