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  • Search: subject:"Bayesianprobability"
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Year of publication
Subject
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Backtest 2 Bayesianprobability 2 MCMC 2 Sharpe ratio 2 bootstrapping 2 cross-validation 2 investment strategy 2 multiple testing 2 optimization 2 probability of backtest overfitting 2 Bayes-Statistik 1 Bayesian inference 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Forecasting model 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Risikomaß 1 Risk measure 1 Statistical test 1 Statistischer Test 1 Theorie 1 Theory 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2
Author
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Witzany, Jiří 2
Published in...
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IES Working Paper 1 IES working paper 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
Cover Image
A Bayesian Approach to Backtest Overfitting
Witzany, Jiří - 2017
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...
Persistent link: https://www.econbiz.de/10011787307
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Cover Image
A Bayesian approach to backtest overfitting
Witzany, Jiří - 2017
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...
Persistent link: https://www.econbiz.de/10011722180
Saved in:
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