绝对偏差
文件夹
最小绝对偏差
标准差
平均绝对误差
计量经济学
直线(几何图形)
数学
绝对(哲学)
统计
经济
回归
均方误差
金融经济学
认识论
哲学
几何学
出处
期刊:Management Science
[Institute for Operations Research and the Management Sciences]
日期:1971-10-01
卷期号:18 (2): B-13
被引量:132
摘要
The characteristic line of a security or portfolio relates its rate of return to that of a “market portfolio.” Several investigators have suggested the desirability of obtaining such a line by minimizing the sum of the absolute deviations rather than the sum of the squared deviations around the line. This paper presents a new algorithm for such a regression problem. The procedure has at least two virtues: it is simple, and it produces useful information as a byproduct of the solution process. Empirical evidence is also presented on the differences in the values obtained with the two regression methods (i.e., mean-absolute-deviation and least-squares). The differences appear to be relatively slight, at least for well-diversified portfolios.
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