A robust Sharpe ratio

DOI10.1007/s13571-019-00204-yzbMath1476.62225OpenAlexW2990424043MaRDI QIDQ2061748

Arnab Kumar Laha, K. C. Mahesh

Publication date: 21 December 2021

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-019-00204-y

zbMATH Keywords

outlierslognormal distributionCauchy distributionstock market returnsmixture normal distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35) Portfolio theory (91G10)

Cites Work

• Asymptotic independence of median and MAD
• On robust mean-variance portfolios
• A new infinitesimal approach to robust estimation
• The Influence Curve and Its Role in Robust Estimation
• Ratios of Normal Variables and Ratios of Sums of Uniform Variables
• A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices
• Robust Statistics
• Robust Estimation of a Location Parameter
• A Robust Version of the Probability Ratio Test
• Robust confidence limits
• Safety First and the Holding of Assets
• Robust Statistics
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