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

DOI10.1016/J.SPL.2011.02.035zbMATH Open1219.62030OpenAlexW1972894345MaRDI QIDQ553013FDOQ553013

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

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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)

Cites Work

• Autoregressive conditional heteroskedasticity and changes in regime
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• The Efficiency Analysis of Choices Involving Risk
• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
• Gains from diversification on convex combinations: a majorization and stochastic dominance approach
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• Preferences over location-scale family
• A paradox in least-squares estimation of linear regression models
• A note on sequential estimation of the size of a population under a general loss function
• Estimating parameters in autoregressive models with asymmetric innovations
• Asymptotic properties of eigenmatrices of a large sample covariance matrix

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

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