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

DOI10.1016/j.spl.2011.02.035zbMath1219.62030MaRDI QIDQ553013

Zhi-Dong Bai, Keyan Wang, Wing-Keung Wong

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 ratio; coefficient of variation; uniformly most powerful unbiased test

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F03: Parametric hypothesis testing