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Quantitative Finance · Glossário

O que é Error maximisation?

Definition 25.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 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”).

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