Inference for the Sharpe ratio using a likelihood-based approach (Q454815): Difference between revisions
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| Property / author | |||
| Property / author: Ying Liu / rank | |||
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| Property / author: Q262791 / rank | |||
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Summary: The Sharpe ratio is the prominent risk-adjusted performance measure used by practitioners. Statistical testing of this ratio using its asymptotic distribution has lagged behind its use. In this paper, highly accurate likelihood analysis is applied for inference on the Sharpe ratio. Both the one- and two-sample problems are considered. The methodology has distributional accuracy and can be implemented using any parametric return distribution structure. Simulations are provided to demonstrate the method's superior accuracy over existing methods used for testing in the literature. | |||
| Property / review text: Summary: The Sharpe ratio is the prominent risk-adjusted performance measure used by practitioners. Statistical testing of this ratio using its asymptotic distribution has lagged behind its use. In this paper, highly accurate likelihood analysis is applied for inference on the Sharpe ratio. Both the one- and two-sample problems are considered. The methodology has distributional accuracy and can be implemented using any parametric return distribution structure. Simulations are provided to demonstrate the method's superior accuracy over existing methods used for testing in the literature. / rank | |||
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| Property / Mathematics Subject Classification ID: 62H15 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C60 / rank | |||
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| Property / zbMATH DE Number: 6092422 / rank | |||
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Revision as of 12:19, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference for the Sharpe ratio using a likelihood-based approach |
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Inference for the Sharpe ratio using a likelihood-based approach (English)
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10 October 2012
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Summary: The Sharpe ratio is the prominent risk-adjusted performance measure used by practitioners. Statistical testing of this ratio using its asymptotic distribution has lagged behind its use. In this paper, highly accurate likelihood analysis is applied for inference on the Sharpe ratio. Both the one- and two-sample problems are considered. The methodology has distributional accuracy and can be implemented using any parametric return distribution structure. Simulations are provided to demonstrate the method's superior accuracy over existing methods used for testing in the literature.
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