Minimize Cp

Minimize Cp

This is also known as : Mallow's Cp-criterion. In this model, the utility function is given by:

    Cp - n = (m - nt) * Var(e) + (n - m) * Var(et)

    where

    Var(et) = variance of excess return of manager over benchmark, using all indices
    Var(e) = variance of excess return of manager over benchmark, using current subset
    n = number of indices in current subset

 
 

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