Accuracy comparison is done with two metrics the Absolute Difference and the Average Deviation ratio.
The Average Deviation Ratio (ADR) is computed for simulations with different data rates.
We impose a constraint of the standard deviation ratio in the optimization problem to avoid exploring the effect of [[lambda].
1] always fixed at 1), the "optimal" coefficients (using the optimization procedure explained before), the objective function values (recall that the correlation coefficient and the standard deviation ratio are dimensionless but the average daily return was taken in percentage), the correlation coefficient ([rho]) of the index and the "optimal" tracking portfolio returns during the calibration/testing period, the standard deviation ratio (SD.
Mean/ standard deviation ratio has been chosen to represent return and risk.
Mean/standard deviation ratio of asset allocation strategies through business cycle phases Balanced Optimized Matching 10% higher Optimazing volatility volatility volatility Recovery 0.
2] Average deviation ratio: Prediction: Deviation ratio Agent Experiment: Profit Average profit distribution distributions rules N = 48 N = 40 OOCS ADMCS OOCS ADMCS (rational) P 45.
The average deviation ratios for the OOCS-rule and the ADMCS-rule are collected from the 4 experiments and are listed in table 5.
Figure 2 shows the standard deviation ratio
as a function of the frequency of the periodically fluctuating velocity obtained from the tests with the anemometers.
In all, 18 different naive diversification portfolios were considered and their mean/standard deviation ratio as well as effectiveness of diversification compared with the efficient portfolios.
The diversification strategy of equal allocation to each manager's portfolio ranked third in efficiency level, in terms of mean/standard deviation ratio.
Table 1 Average Return Standard Sharpe Name of Fund 1997-2004 Deviation Ratio
Closed-end Funds Almeezan Mutual Fund 0.