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Portfolio Optimization Efficiency Test Considering Data Snooping Bias
2020
Business Systems Research
AbstractBackground: In the portfolio optimization area, most of the research is focused on insample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it.Objectives: The objective of the paper is to propose the approach to measuring the efficiency of the portfolio strategy based on the hypothesis inference methodology and considering a possible data snooping bias. The proposed approach is demonstrated on
doi:10.2478/bsrj-2020-0016
fatcat:gu3xovlsebcsdcbz7d2n7qgxsa