Direct local linear estimation for Sharpe ratio function

DOI10.1002/CJS.11658MaRDI QIDQ5094282zbMATH OpenOpenAlexFDO

Authors Hongmei Lin, Yuedong Wang, Wenchao Xu, Riquan Zhang, Tiejun Tong

Publication date 2 August 2022

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11658

zbMATH Keywords

heteroscedasticitynonparametric regressionlocal linear regressionlocal likelihood estimationSharpe ratio function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic distribution theory in statistics (62E20)

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Cited in

(1)

• Estimating mean-standard deviation ratios of financial data

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