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: Kolmogorov-Smirnov Test: Comparison Between Original and Synthetic Re- turns and Interest Rates Distributions
Source publication
We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asset allocation problem in which each asset class is accessed through a passive (index) fund. The asset-class weights are determined by solving an optimizat...
Contexts in source publication
Context 1
... second, for each pair of variables, we can compare the corresponding joint distributions. Table 3 reports the results of the Kolmogorov-Smirnov test (KS-test) (Massey, 1951), which seeks to determine whether both samples (original and synthetic) come from the same distribution. The null hypothesis (e.g., that both samples come from the same distribution) cannot be rejected. ...Context 2
... second, for each pair of variables, we can compare the corresponding joint distributions. Table 3 reports the results of the Kolmogorov-Smirnov test (KS-test) (Massey, 1951), which seeks to determine whether both samples (original and synthetic) come from the same distribution. The null hypothesis (e.g., that both samples come from the same distribution) cannot be rejected. ...