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

DOI10.1155/2020/6751574MaRDI QIDQ826359zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 4 January 2021

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

Recommendations

• Inference for the Sharpe ratio using a likelihood-based approach
• A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices
• A robust Sharpe ratio
• Small-sample tests for the equality of two normal cumulative probabilities, coefficients of variation, and Sharpe ratios
• Comparing large-sample maximum Sharpe ratios and incremental variable testing

Cites work

• scientific article; zbMATH DE number 4159854 (Why is no real title available?)
• scientific article; zbMATH DE number 3947392 (Why is no real title available?)
• scientific article; zbMATH DE number 3978129 (Why is no real title available?)
• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• scientific article; zbMATH DE number 800290 (Why is no real title available?)
• A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices
• Applied Asymptotics
• Inference for the Sharpe ratio using a likelihood-based approach
• Likelihood asymptotics
• Properties of sufficiency and statistical tests

Cited in

(1)

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

This page was built for publication: Inference for the difference of two independent KS Sharpe ratios under lognormal returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q826359)