Inference for the Sharpe ratio using a likelihood-based approach

DOI10.1155/2012/878561zbMath1263.62095OpenAlexW2016207019WikidataQ58911000 ScholiaQ58911000MaRDI QIDQ454815

Marie Rekkas, Augustine C. M. Wong, Ying Liu

Publication date: 10 October 2012

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/878561

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15)

Related Items (1)

Inference for the difference of two independent KS Sharpe ratios under lognormal returns

Cites Work

• Saddle point approximation for the distribution of the sum of independent random variables
• Conditionality resolutions
• The modified signed likelihood statistic and saddlepoint approximations
• A simple general formula for tail probabilities for frequentist and Bayesian inference
• Comparisons of Approximate Confidence Intervals for Distributions Used in Life-Data Analysis
• Tail Probability Approximations
• Saddlepoint Approximations in Statistics
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