PPT Slide
G) Transactions costs can aid in avoiding overfitting the data
1) Transactions costs were set at 0.001 per round trip in the
training/selection period, 0.0005 in the validation period.
H) Risk measures
1) Sharpe ratios were between 0.1 and 0.5. The S&P500 Sharpe
ratio was about 0.3 over the same period
2) CAPM beta
2) CAPM beta
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