On the role of skewness, kurtosis, and the location and scale condition in a sharpe ratio performance evaluation setting
Year of publication: |
2015
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Authors: | Auer, Benjamin R. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 6, p. 1-13
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Subject: | Performance measurement | Sharpe ratio | skewness | kurtosis | location and scale condition | generalized location and scale condition | Performance-Messung | Statistische Verteilung | Statistical distribution | Statistischer Test | Statistical test | Portfolio-Management | Portfolio selection | Nichtparametrisches Verfahren | Nonparametric statistics |
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