{"id":"W2155752828","doi":"","title":"ESTIMATING THE NEGATIVE IMPACT OF \"NOISE\" ON THE RETURNS OF CAP-WEIGHTED PORTFOLIOS IN VARIOUS SEGMENTS OF THE EQUITY MARKETS","year":2012,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":3,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"","keywords":"Portfolio; Economics; Efficient frontier; Rate of return on a portfolio; Ex-ante; Financial economics; Econometrics; Market portfolio; Equity (law); Portfolio optimization; Capital asset pricing model; Modern portfolio theory","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.004888817,0.0008810024,0.000446172,0.0009753988,0.0001803684,0.001440545,0.0006975486,0.000908099,0.0005682608],"category_scores_gemma":[0.03018505,0.000453211,0.0005429931,0.0008710158,0.0006126504,0.0021991,0.0009431909,0.00104404,0.0001593188],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0006990743,"about_ca_system_score_gemma":0.0004633181,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003236185,"about_ca_topic_score_gemma":0.001830347,"domain_scores_codex":[0.9985458,0.000444008,0.0001198669,0.0002927598,0.0003744269,0.0002232403],"domain_scores_gemma":[0.9737883,0.01653197,0.005688209,0.002262521,0.001123755,0.0006052149],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00155926,0.0003663248,0.5512612,0.0000893471,0.0005039785,0.0004210374,0.0001468156,0.394998,0.005562206,0.008342932,0.0005309499,0.03621789],"study_design_scores_gemma":[0.00005071794,0.000740761,0.3891627,0.00002982128,0.0001693519,0.0002107192,0.0001266459,0.5891768,0.01138626,0.008182866,0.0006962716,0.00006702952],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9888038,0.00007803691,0.009822284,0.00006062147,0.000005534862,0.00001860387,0.0001848691,0.00004121578,0.0009849769],"genre_scores_gemma":[0.9976247,0.00004785075,0.001823534,0.00001512264,0.000007462316,0.000008072158,0.0002453586,0.000005743599,0.0002221661],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.004888817,"threshold_uncertainty_score":0.02585483,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.0227321713609526,"score_gpt":0.2563814065656598,"score_spread":0.2336492352047072,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}