{"id":"W3197096319","doi":"10.1002/cjs.11658","title":"Direct local linear estimation for Sharpe ratio function","year":2021,"lang":"en","type":"article","venue":"Canadian Journal of Statistics","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":3,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"National Natural Science Foundation of China; China Postdoctoral Science Foundation; Natural Science Foundation of Shanghai; National Science Foundation","keywords":"Sharpe ratio; Estimator; Heteroscedasticity; Nonparametric statistics; Econometrics; Monte Carlo method; Mathematics; Statistics; Nonparametric regression; Function (biology); Economics; Finance; Portfolio","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0003317713,0.00006723723,0.0002180284,0.000136908,0.0001270029,0.00005420355,0.00006018209,0.00005967381,0.0001676632],"category_scores_gemma":[0.0008540525,0.00008428252,0.00005975509,0.0001101414,0.00003028981,0.0001404721,0.000003137149,0.0001023805,0.00002580686],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001530047,"about_ca_system_score_gemma":0.0005934784,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001019529,"about_ca_topic_score_gemma":0.007934031,"domain_scores_codex":[0.9991776,0.000007746597,0.0005180931,0.0001076048,0.00002562116,0.0001633544],"domain_scores_gemma":[0.9990936,0.0000793302,0.0002596684,0.00008507402,0.0002956829,0.0001866264],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00007327165,0.0000431463,0.01150918,0.000139973,0.0001119729,0.00008962653,0.000903669,0.06991433,0.00002102502,0.8146698,0.02726739,0.07525661],"study_design_scores_gemma":[0.0005754158,0.0001889867,0.007625367,0.00004071334,0.00003127392,0.00001870267,0.00009141491,0.7728896,0.0001237097,0.1237035,0.09452174,0.0001895868],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.004943878,0.001186574,0.990995,0.0001951446,0.0008180162,0.00005504134,0.001198799,0.000002520324,0.0006050606],"genre_scores_gemma":[0.9182398,0.00005208639,0.08090935,0.0001643965,0.0002176027,0.000002007735,0.00008195872,0.00001464932,0.0003181022],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.913296,"threshold_uncertainty_score":0.4427375,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04181004814151597,"score_gpt":0.2255382015520228,"score_spread":0.1837281534105068,"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."}}