Interval estimation for the Sortino ratio and the Omega ratio (Q5418878)
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scientific article; zbMATH DE number 6298990
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| English | Interval estimation for the Sortino ratio and the Omega ratio |
scientific article; zbMATH DE number 6298990 |
Statements
Interval Estimation for the Sortino Ratio and the Omega Ratio (English)
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30 May 2014
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coverage probability
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dependent central limit theorem
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financial performance ratio
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GARCH model
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strong mixing condition
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0.8102835416793823
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0.723689079284668
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0.7079066634178162
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