Inference for the Sharpe ratio using a likelihood-based approach

DOI10.1155/2012/878561MaRDI QIDQ454815zbMATH OpenOpenAlexWikidataFDO

Authors Marie Rekkas, Augustine Wong, Ying Liu

Publication date 10 October 2012

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/878561

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15)

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Cites work

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• A simple general formula for tail probabilities for frequentist and Bayesian inference
• Comparisons of Approximate Confidence Intervals for Distributions Used in Life-Data Analysis
• Conditionality resolutions
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint Approximations in Statistics
• Tail Probability Approximations
• The modified signed likelihood statistic and saddlepoint approximations

Cited in

(9)

• Inference for the difference of two independent KS Sharpe ratios under lognormal returns
• Interval estimation for the Sharpe ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations
• Direct local linear estimation for Sharpe ratio function
• Inference for performance measures for financial assets
• Noise fit, estimation error and a Sharpe information criterion
• Comparing large-sample maximum Sharpe ratios and incremental variable testing
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices

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