| Title |
Portfolio Inputs Selection from Imprecise Training Data / |
| Authors |
Raudys, Šarūnas ; Raudys, Aistis ; Pabarskaite, Zidrina ; Biziulevičienė, Genė |
| DOI |
10.4467/20838476SI.16.014.6195 |
| Full Text |
|
| Is Part of |
Schedae Informaticae.. Uniwersytet Jagiellonski - Wydawnictwo Uniwersytetu Jagiellonskiego. 2016, 25, p. 177-188.. eISSN 2083-8476 |
| Keywords [eng] |
Complexity ; financial portfolio ; overfitting ; sample size ; variable selection |
| Abstract [eng] |
This paper explores very acute problem of portfolio secondary overfitting. We examined the financial portfolio inputs random selection optimization model and derived the equation to calculate the mean Sharpe ratio in dependence of the number of portfolio inputs, the sample size L used to estimate Sharpe ratios of each particular subset of inputs and the number of times the portfolio inputs were generated randomly. It was demonstrated that with the increase in portfolio complexity, and complexity of optimization procedure we can observe the over-fitting phenomena. Theoretically based conclusions were confirmed by experiments with artificial and real world 60,000-dimensional 12 years financial data. |
| Published |
Uniwersytet Jagiellonski - Wydawnictwo Uniwersytetu Jagiellonskiego |
| Type |
Journal article |
| Language |
English |
| Publication date |
2016 |
