Portfolio Optimization Efficiency Test Considering Data Snooping Bias
نویسندگان
چکیده
منابع مشابه
Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias
Article history: Received 25 October 2008 Received in revised form 19 July 2009 Accepted 5 January 2010 Available online 18 January 2010 In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the “superior predictive ability” (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify pred...
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ژورنال
عنوان ژورنال: Business Systems Research Journal
سال: 2020
ISSN: 1847-9375
DOI: 10.2478/bsrj-2020-0016