论文标题
推断达到的信号噪声比
Inference on Achieved Signal Noise Ratio
论文作者
论文摘要
我们描述了一种在高斯I.I.D.下对Markowitz投资组合达到的信号噪声比率进行近似推断的程序。返回。该过程依赖于类似于Sharpe比率信息标准的统计信息。测试表明该过程有些保守，但对于样本和资产宇宙大小的合理价值，否则可以很好地工作。我们适应了处理投资组合优化问题的概括的过程。
We describe a procedure to perform approximate inference on the achieved signal-noise ratio of the Markowitz Portfolio under Gaussian i.i.d. returns. The procedure relies on a statistic similar to the Sharpe Ratio Information Criterion. Testing indicates the procedure is somewhat conservative, but otherwise works well for reasonable values of sample and asset universe sizes. We adapt the procedure to deal with generalizations of the portfolio optimization problem.
