Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns
Joint Authors
Source
Journal of Probability and Statistics
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-10-10
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
A higher-order likelihood-based asymptotic method to obtain inference for the difference between two KS Sharpe ratios when gross returns of an investment are assumed to be lognormally distributed is proposed.
Theoretically, our proposed method has On−3/2 distributional accuracy, whereas conventional methods for inference have On−1/2 distributional accuracy.
Using an example, we show how discordant confidence interval results can be depending on the methodology used.
We are able to demonstrate the accuracy of our proposed method through simulation studies.
American Psychological Association (APA)
Qi, J.& Rekkas, M.& Wong, A.. 2020. Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns. Journal of Probability and Statistics،Vol. 2020, no. 2020, pp.1-6.
https://search.emarefa.net/detail/BIM-1190180
Modern Language Association (MLA)
Qi, J.…[et al.]. Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns. Journal of Probability and Statistics No. 2020 (2020), pp.1-6.
https://search.emarefa.net/detail/BIM-1190180
American Medical Association (AMA)
Qi, J.& Rekkas, M.& Wong, A.. Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns. Journal of Probability and Statistics. 2020. Vol. 2020, no. 2020, pp.1-6.
https://search.emarefa.net/detail/BIM-1190180
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1190180