Inference for the Sharpe Ratio Using a Likelihood-Based Approach
Joint Authors
Wong, Augustine C. M.
Liu, Ying
Rekkas, Marie
Source
Journal of Probability and Statistics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-24, 24 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-10-09
Country of Publication
Egypt
No. of Pages
24
Main Subjects
Abstract EN
The Sharpe ratio is the prominent risk-adjusted performance measure used by practitioners.
Statistical testing of this ratio using its asymptotic distribution has lagged behind its use.
In this paper, highly accurate likelihood analysis is applied for inference on the Sharpe ratio.
Both the one- and two-sample problems are considered.
The methodology has O(n−3/2) distributional accuracy and can be implemented using any parametric return distribution structure.
Simulations are provided to demonstrate the method's superior accuracy over existing methods used for testing in the literature.
American Psychological Association (APA)
Liu, Ying& Rekkas, Marie& Wong, Augustine C. M.. 2012. Inference for the Sharpe Ratio Using a Likelihood-Based Approach. Journal of Probability and Statistics،Vol. 2012, no. 2012, pp.1-24.
https://search.emarefa.net/detail/BIM-505580
Modern Language Association (MLA)
Liu, Ying…[et al.]. Inference for the Sharpe Ratio Using a Likelihood-Based Approach. Journal of Probability and Statistics No. 2012 (2012), pp.1-24.
https://search.emarefa.net/detail/BIM-505580
American Medical Association (AMA)
Liu, Ying& Rekkas, Marie& Wong, Augustine C. M.. Inference for the Sharpe Ratio Using a Likelihood-Based Approach. Journal of Probability and Statistics. 2012. Vol. 2012, no. 2012, pp.1-24.
https://search.emarefa.net/detail/BIM-505580
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-505580