I just went through the Merton (1972) prove of the analytical efficient frontier and the minimum variance portfolio. We recall that the expected return of the minimum variance portfolio is (mu * S^-1 ...

The reason being, the model may not be able to perform well even on existing training data since the lower degree polynomials are unable to capture all features of the training data. Yet the variance ...

This example uses the REG procedure to create plots from a data set. The variance inflation factors (output by the OUTVIF option in the previous example) are plotted against the ridge regression ...