Search Results

You are looking at 1 - 1 of 1 items :

  • "Internal capital allocation" x
  • Mathematics x
Clear All

,\tilde{A}_{d})} , that were created using some capital allocation methodology, We refer to such methodology as to an Internal Capital Allocation Model (ICAM). uses as its input the observations of past P&Ls. The key ingredient to both backtesting methods is the estimation of (5.1) ∑ i = 1 d 𝔼 θ 0 ⁢ [ Z S , A ^ θ 0 ⁢ ( X i + A ~ i ) ] \sum_{i=1}^{d}\mathbb{E}^{\theta_{0}}[Z_{S,\hat{A}}^{\theta_{0}}(X_{i}+\tilde{% A}_{i})] and the estimation of (5.2) 𝔼 θ 0 ⁢ [ Z S , A ^ θ 0 ⁢ ( X i + A ~ i ) ] , i = 1 , 2 , … , d . \mathbb{E}^{\theta_{0}}[Z_{S,\hat{A}}^{\theta_{0}}(X