The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test

DOI10.1016/j.spl.2011.02.035zbMath1219.62030OpenAlexW1972894345MaRDI QIDQ553013

Keyan Wang, Wing-Keung Wong, Zhi-Dong Bai

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.02.035

zbMATH Keywords

Sharpe ratiocoefficient of variationuniformly most powerful unbiased test

Mathematics Subject Classification ID

Related Items (4)

Comparing ratios of the mean to a power of variance in two samples via self-normalized test statistics ⋮ An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment ⋮ Testing equality of shape parameters in several inverse Gaussian populations ⋮ Small-sample tests for the equality of two normal cumulative probabilities, coefficients of variation, and Sharpe ratios

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