Reference Materials
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.