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? Thanks a lot! -- View this message in context: http://r.789695.n4.nabble.com/Can-anybody-help-me-understand-AIC-and-BIC-and-devise-a-new-metric-tp2278448p2278448.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
