The Sampling Relationship Between Sharpe’s Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions

DOI10.1142/9789811202391_0069zbMath1454.91215OpenAlexW3084856287MaRDI QIDQ5139497

Cheng-Few Lee, Son-Nan Chen

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0069

zbMATH Keywords

portfolionon-central \(t\)-distributionfinance-investmentstatistics-sampling

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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