सभी किताबें

पेशेवर

ऐप्स परिचय Coach लॉग इन पढ़ना शुरू करें

Quantitative Finance · शब्दावली

Error maximisation क्या है?

Definition 25.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · अध्याय 25 — Portfolio Construction I

Error maximisation is the tendency of an optimiser to load the directions in which its inputs are most in error: assets with overestimated returns, underestimated variances or understated correlations, which look like the best trades because they are the worst estimates (Michaud, 1989, who called mean–variance optimisers “estimation-error maximizers”).

अध्याय में पढ़ें →