The unconditional variance of various GARCH-type models is a function h(theta) of the parameter vector theta which is estimated by theta. For most models used in practice, closed-form expressions of h(.) have been found. On the contrary, the unconditional variance can be estimated by the sample...

We propose and develop mean-variance-ratio (MVR) statistics for comparing the performance of prospects (e.g., investment portfolios, assets, etc.) after the effect of the background risk has been mitigated. We investigate the performance of the statistics in large and small samples and show that...