Portfolio risk.

Mean absolute deviations, mean squared deviations, Sharpe-Ratio and turnover of the resulting portfolios for the different covariance estimators and the different markets. DVA mean significantly better/worse than this model at the 5% level, tested by a randomization test.

本数据集收录了不同协方差估计量（covariance estimator）与不同市场下生成的投资组合的平均绝对偏差、均方偏差、夏普比率（Sharpe Ratio）及换手率。经随机化检验（randomization test）在5%显著性水平下验证，DVA模型显著优于或劣于本模型。