Inference for the Sharpe ratio using a likelihood-based approach
type: Item
instance of: scholarly article
title: Inference for the Sharpe ratio using a likelihood-based approach
zbMATH Open document ID: 1263.62095
DOI: 10.1155/2012/878561
author: Marie Rekkas
author: Augustine Wong
author: Ying Liu
published in: Journal of Probability and Statistics
publication date: 2012-10-10T00:00:00Z
review text: Summary: The Sharpe ratio is the prominent risk-adjusted performance measure used by practitioners. Statistical testing of this ratio using its asymptotic distribution has lagged behind its use. In this paper, highly accurate likelihood analysis is applied for inference on the Sharpe ratio. Both the one- and two-sample problems are considered. The methodology has distributional accuracy and can be implemented using any parametric return distribution structure. Simulations are provided to demonstrate the method's superior accuracy over existing methods used for testing in the literature.
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 6092422
Wikidata QID: Q58911000
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/878561
OpenAlex ID: W2016207019
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description: scientific article; zbMATH DE number 6092422