Hypothesis testing with the Sharpe and Treynor portfolio: performance measures given non-synchronous trading

DOI10.1016/0165-1765(90)90027-XMaRDI QIDQ1676700zbMATH OpenFDO

Authors Lawrence Kryzanowski, A. Sim

Publication date 9 November 2017

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(90)90027-X

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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