Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error

DOI10.1142/9789811202391_0093zbMath1451.91177OpenAlexW3080333753MaRDI QIDQ5139526

Cheng-Few Lee, Lie-Jane Kao, Huei Ching Soo

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_0093

zbMATH Keywords

Bayes factorBayesian testmean-variance efficiency\textit{ex post} Sharpe ratioconditional multivariate \(F\)-testCRSP value-weighted index

Mathematics Subject Classification ID

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

This page was built for publication: Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error