AN IMPROVED TEST OF THE SQUARED SHARPE RATIO (Q5051915)
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scientific article; zbMATH DE number 7620578
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN IMPROVED TEST OF THE SQUARED SHARPE RATIO |
scientific article; zbMATH DE number 7620578 |
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AN IMPROVED TEST OF THE SQUARED SHARPE RATIO (English)
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18 November 2022
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arbitrage regression
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chi-square risk model
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mean-variance efficiency test
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squared Sharpe ratio
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upper-tail probability
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