An Improvement of the Sharpe-Ratio Test on Small Samples -- Mean-Variance Ratio Test

To circumvent the limitations of the Sharpe-ratio statistic on testing small samples, we develop the mean-variance-ratio (MVR) statistic to test the performance among assets for small samples. We provide theoretical reasoning to use MVR and prove that our proposed statistic is uniformly most powerful unbiased

MoreLess

Year of publication:	[2009]
Authors:	Bai, Zhidong
Other Persons:	Wong, Keyan (contributor) ; Wong, Wing-Keung (contributor)
Publisher:	[2009]: [S.l.] : SSRN

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 30, 2009 erstellt
Other identifiers:	10.2139/ssrn.1336898 [DOI]
Classification:	C12 - Hypothesis Testing ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012719440