Estimating mean-standard deviation ratios of financial data

DOI10.1080/02664763.2011.610443MaRDI QIDQ5126978zbMATH OpenOpenAlexFDO

Authors H. E. T. Holgersson, Peter S. Karlsson, Rashid Mansoor

Publication date 21 October 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2011.610443

zbMATH Keywords

arbitrage pricing theory modelcoefficient of variationincreasing dimension asymptoticsreturn-risk ratio

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 2146311 (Why is no real title available?)
• scientific article; zbMATH DE number 847272 (Why is no real title available?)
• Non-parametric Estimation of Tail Dependence
• On Independence of Sample Mean and Translation Invariant Statistics of Samples from Multivariate Normal Populations

Cited in

(1)

• Confidence intervals of the inverse of coefficient of variation of delta-gamma distribution

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