Inference for the difference of two independent KS Sharpe ratios under lognormal returns

DOI10.1155/2020/6751574zbMATH Open1476.91158OpenAlexW3092518423MaRDI QIDQ826359FDOQ826359

Authors: N. E. Zubov 

Publication date: 4 January 2021

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/6751574

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Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Applied Asymptotics
• Properties of sufficiency and statistical tests
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• Likelihood asymptotics
• Title not available (Why is that?)
• Inference for the Sharpe ratio using a likelihood-based approach
• A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices

Cited In (1)

• Inference for the Sharpe ratio using a likelihood-based approach

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