英文标题：
《On Biased Correlation Estimation》
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作者：
Thomas Sch\\\"urmann and Ingo Hoffmann
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最新提交年份：
2017
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英文摘要：
In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities which are derived from it. Since there is a linear dependency of the variance and the empirical correlation between asset classes, one is compelled to control or to avoid the possibility of underestimating correlation coefficients. In the present approach, we formalize common practice and classify these approaches by computing their probability of underestimation. In addition, we introduce a new estimator which is characterized by having the advantage of a constant and controllable probability of underestimation. We prove that the new estimator is statistically consistent.
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中文摘要：
一般来说，应尽可能避免低估风险。特别是在金融资产管理中，股权风险通常以投资组合方差的度量为特征，或间接以由此衍生的数量为特征。由于资产类别之间的方差和经验相关性存在线性依赖关系，因此必须控制或避免低估相关系数的可能性。在目前的方法中，我们将常见做法形式化，并通过计算低估概率对这些方法进行分类。此外，我们还引入了一种新的估计量，其特点是具有常数和可控的低估概率的优点。我们证明了新的估计量在统计上是一致的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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