Interval Estimation for the Sortino Ratio and the Omega Ratio

DOI10.1080/03610918.2012.722808zbMath1333.91061OpenAlexW2007164777MaRDI QIDQ5418878

Lucio De Capitani

Publication date: 30 May 2014

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10281/28388

zbMATH Keywords

coverage probabilityGARCH modelstrong mixing conditionfinancial performance ratiodependent central limit theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Statistical methods; economic indices and measures (91B82)

Related Items

Inference for performance measures for financial assets

Cites Work

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