Some Improved Estimators of Maximum Squared Sharpe Ratio

DOI10.1142/9789811202391_0074zbMath1454.91218OpenAlexW3080653175MaRDI QIDQ5139503

Siu Kai Choy, Buqing Yang

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_0074

zbMATH Keywords

unbiased estimationBayes estimationSharpe ratiofinite sample

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Portfolio theory (91G10)

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