Interval estimation for the Sortino ratio and the Omega ratio

DOI10.1080/03610918.2012.722808MaRDI QIDQ5418878zbMATH OpenOpenAlexFDO

Authors L. De Capitani

Publication date 30 May 2014

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10281/28388

zbMATH Keywords

GARCH modelcoverage probabilitystrong mixing conditionfinancial performance ratiodependent central limit theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05)

Recommendations

• 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
• scientific article; zbMATH DE number 1449653
• Worst-case robust Omega ratio
• Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
• Distribution-Free Confidence Intervals for Conditional Probabilities and Ratios of Expectations

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Approximation Theorems of Mathematical Statistics
• Automatic Lag Selection in Covariance Matrix Estimation
• 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
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Some Limit Theorems for Stationary Processes
• Stochastic Limit Theory
• Time series: theory and methods.

Cited in

(3)

• 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
• Inference for performance measures for financial assets
• Interval estimators for ratios of independent quantiles and interquantile ranges

This page was built for publication: Interval estimation for the Sortino ratio and the Omega ratio

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5418878)