[R] Can anybody help me understand AIC and BIC and devise a new metric?

[LosemindL]

Hi all,

Could anybody please help me understand AIC and BIC and especially why do
they make sense?

Furthermore, I am trying to devise a new metric related to the model
selection in the financial asset management industry.

As you know the industry uses Sharpe Ratio as the main performance
benchmark, which is the annualized mean of returns divided by the annualized
standard deviation of returns. 

In model selection, we would like to choose a model that yields the highest
Sharpe Ratio.

However, the more parameters you use, the higher Sharpe Ratio you might
potentially get, and the higher risk that your model is overfitted. 

I am trying to think of a AIC or BIC version of the Sharpe Ratio that
facilitates the model selection...

Anybody could you please give me some pointers? 

Thanks a lot! 
-- 
View this message in context: http://r.789695.n4.nabble.com/Can-anybody-help-me-understand-AIC-and-BIC-and-devise-a-new-metric-tp2278448p2278448.html
Sent from the R help mailing list archive at Nabble.com.