Minimize SC

This is the : .Schwarz Criterion. In this model, the utility function is given by:

    SC = m * log( Var(e) / m ) + n * log(m)

    where

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

In this model, StyleADVISOR chooses the subset of indices where SC assumes its minimal value.

Related statistics: 
Maximize Adjusted R2
Minimize AIC
Minimize Cp
Model Selection
 
 

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