Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error (Q5139526)
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scientific article; zbMATH DE number 7283305
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error |
scientific article; zbMATH DE number 7283305 |
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Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error (English)
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9 December 2020
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Bayesian test
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mean-variance efficiency
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\textit{ex post} Sharpe ratio
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Bayes factor
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CRSP value-weighted index
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conditional multivariate \(F\)-test
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