A robust Sharpe ratio

DOI10.1007/S13571-019-00204-YMaRDI QIDQ2061748zbMATH OpenOpenAlexWikidataFDO

Authors K. C. Mahesh, Arnab Kumar Laha

Publication date 21 December 2021

Published in Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13571-019-00204-y

zbMATH Keywords

Cauchy distributionlognormal distributionmixture normal distributionoutliersstock market returns

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

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Cited in

(8)

• Sharpe thinking in asset ranking with one-sided measures
• On the role of skewness, kurtosis, and the location and scale condition in a Sharpe ratio performance evaluation setting
• Ranking of investment funds: acceptability versus robustness
• The Use of Ratios to Compare Volatilities and VaRs
• Inference for the Sharpe ratio using a likelihood-based approach
• Direct local linear estimation for Sharpe ratio function
• The structural Sharpe model under t-distributions
• Inference for the difference of two independent KS Sharpe ratios under lognormal returns

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