2 papers
q-fin.PM2018
Generalized Information Ratio
Zhongzhi Lawrence He
Alpha-based performance evaluation may fail to capture correlated residuals due to model errors. This paper proposes using the Generalized Information Ratio (GIR) to measure perfor…
q-fin.PM2018
Comparing Asset Pricing Models: Distance-based Metrics and Bayesian Interpretations
Zhongzhi Lawrence He
In light of the power problems of statistical tests and undisciplined use of alpha-based statistics to compare models, this paper proposes a unified set of distance-based performan…