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Predicting the Performance of Algorithmic Investment Strategies
Predicting the Performance of Algorithmic Investment Strategies
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机译:预测算法投资策略的绩效
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摘要
A new type of financial forecasting model, which permits investment returns (as well as other portfolio characteristics) to be forecast according to the state of the portfolio is described. For example, the illustrative embodiment prescribes methods for designing and testing such models, and it specifies ways to use the outputs of such models to accomplish portfolio management tasks that were not possible previously.
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