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

[David Winsemius]

On Jul 5, 2010, at 10:35 AM, LosemindL wrote:

>
> 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?
>
From: http://www.R-project.org/posting-guide.html

"Basic statistics and classroom homework: R-help is not intended for  
these."

Perhaps following some link on Wikipedia, instead?

-- 
David Winsemius, MD
West Hartford, CT