Discovering optimal weights in weighted-scoring stock-picking models: a mixture design approach
نویسندگان
چکیده
منابع مشابه
Optimal mixture weights in multiple importance sampling
In multiple importance sampling we combine samples from a finite list of proposal distributions. When those proposal distributions are used to create control variates, it is possible (Owen and Zhou, 2000) to bound the ratio of the resulting variance to that of the unknown best proposal distribution in our list. The minimax regret arises by taking a uniform mixture of proposals, but that is cons...
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ژورنال
عنوان ژورنال: Financial Innovation
سال: 2020
ISSN: 2199-4730
DOI: 10.1186/s40854-020-00209-x