Inference for the Sharpe ratio using a likelihood-based approach

DOI10.1155/2012/878561zbMATH Open1263.62095OpenAlexW2016207019WikidataQ58911000 ScholiaQ58911000MaRDI QIDQ454815FDOQ454815

Authors: Marie Rekkas, Augustine Wong, Ying Liu 

Publication date: 10 October 2012

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

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

Recommendations

• Inference for the difference of two independent KS Sharpe ratios under lognormal returns
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• Noise fit, estimation error and a Sharpe information criterion

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15)

Cites Work

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• The modified signed likelihood statistic and saddlepoint approximations
• Saddlepoint Approximations in Statistics
• Saddle point approximation for the distribution of the sum of independent random variables
• A simple general formula for tail probabilities for frequentist and Bayesian inference
• Tail Probability Approximations
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• Comparisons of Approximate Confidence Intervals for Distributions Used in Life-Data Analysis
• Conditionality resolutions
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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
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• Comparing large-sample maximum Sharpe ratios and incremental variable testing
• A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices
• The large-sample distribution of the maximum Sharpe ratio with and without short sales

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