Ledoit, Oliver; Wolf, Michael - In: Journal of Empirical Finance 15 (2008) 5, pp. 850-859
Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie [Jobson, J.D. and Korkie, B.M. (1981). Performance hypothesis testing with the Sharpe and Treynor measures. Journal of Finance,...
