Estimating mean-standard deviation ratios of financial data

DOI10.1080/02664763.2011.610443OpenAlexW2169731866MaRDI QIDQ5126978

Peter S. Karlsson, H. E. T. Holgersson, Rashid Mansoor

Publication date: 21 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2011.610443

zbMATH Keywords

coefficient of variationincreasing dimension asymptoticsarbitrage pricing theory modelreturn-risk ratio

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Non-parametric Estimation of Tail Dependence
• On Independence of Sample Mean and Translation Invariant Statistics of Samples from Multivariate Normal Populations
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