The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test

DOI10.1016/J.SPL.2011.02.035MaRDI QIDQ553013zbMATH OpenOpenAlexFDO

Authors Keyan Wang, Wing-Keung Wong, Zhidong Bai

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.02.035

zbMATH Keywords

Sharpe ratiocoefficient of variationuniformly most powerful unbiased test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Small-sample tests for the equality of two normal cumulative probabilities, coefficients of variation, and Sharpe ratios
• A comparison of mean-variance efficiency tests
• Generalized Variance-Ratio Tests in the Presence of Statistical Dependence
• An exact invariant variance ratio test.
• THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK

Cites work

• scientific article; zbMATH DE number 3984308 (Why is no real title available?)
• A note on sequential estimation of the size of a population under a general loss function
• A paradox in least-squares estimation of linear regression models
• Asymptotic properties of eigenmatrices of a large sample covariance matrix
• Autoregressive conditional heteroskedasticity and changes in regime
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
• Estimating parameters in autoregressive models with asymmetric innovations
• Gains from diversification on convex combinations: a majorization and stochastic dominance approach
• Preferences over location-scale family
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• The Efficiency Analysis of Choices Involving Risk

Cited in

(6)

• Small-sample tests for the equality of two normal cumulative probabilities, coefficients of variation, and Sharpe ratios
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
• Testing equality of shape parameters in several inverse Gaussian populations
• The Use of Ratios to Compare Volatilities and VaRs
• Bayesian portfolio mean-variance efficiency test with Sharpe ratio's sampling error
• Comparing ratios of the mean to a power of variance in two samples via self-normalized test statistics

This page was built for publication: The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q553013)