AN IMPROVED TEST OF THE SQUARED SHARPE RATIO

DOI10.1017/S0269964819000482OpenAlexW2998744518WikidataQ126379620 ScholiaQ126379620MaRDI QIDQ5051915

Wan-Yi Chiu

Publication date: 18 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964819000482

zbMATH Keywords

arbitrage regressionchi-square risk modelmean-variance efficiency testsquared Sharpe ratioupper-tail probability

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Distributional properties of portfolio weights
• The Distribution of the Sample Minimum-Variance Frontier
• Estimation for Markowitz Efficient Portfolios
• A Test of the Efficiency of a Given Portfolio

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