On Jul 5, 2010, at 10:35 AM, LosemindL wrote:
Hi all,
Could anybody please help me understand AIC and BIC and especially
why do
they make sense?
Furthermore, I am trying to devise a new metric related to the model
selection in the financial asset management industry.
As you know the industry uses Sharpe Ratio as the main performance
benchmark, which is the annualized mean of returns divided by the
annualized
standard deviation of returns.
In model selection, we would like to choose a model that yields the
highest
Sharpe Ratio.
However, the more parameters you use, the higher Sharpe Ratio you
might
potentially get, and the higher risk that your model is overfitted.
I am trying to think of a AIC or BIC version of the Sharpe Ratio that
facilitates the model selection...
Anybody could you please give me some pointers?
From: http://www.R-project.org/posting-guide.html
"Basic statistics and classroom homework: R-help is not intended for
these."
Perhaps following some link on Wikipedia, instead?
--
David Winsemius, MD
West Hartford, CT
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