Direct local linear estimation for Sharpe ratio function

DOI10.1002/CJS.11658zbMATH Open1492.62079OpenAlexW3197096319MaRDI QIDQ5094282FDOQ5094282

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

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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)

Cited In (1)

• Estimating mean-standard deviation ratios of financial data

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