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An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...

Persistent link: https://www.econbiz.de/10011866388

Key financial performance indicators in German family firms : findings of an empirical study

Barbe, Odile; Britzelmaier, Bernd; List, Fabian; … - In: International journal of business and globalisation : IJBG 24 (2020) 1, pp. 105-122

Persistent link: https://www.econbiz.de/10012168657

Asset allocation and downside risk

Barber, Joel R. - In: International journal of portfolio analysis and … 2 (2021) 3, pp. 268-284

Persistent link: https://www.econbiz.de/10012595970

The performance evaluation of the value investing strategy in Taiwan

Tsung-Yu, Hsieh; Zai-Yuan; Huang, Siao; Wan-Ting, Wang; … - In: The empirical economics letters : a monthly … 14 (2015) 7, pp. 669-675

Persistent link: https://www.econbiz.de/10011419254

Hedge fund performance using scaled Sharpe and Treynor measures

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300

Persistent link: https://www.econbiz.de/10011279837

Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings

Auer, Benjamin R.; Schuhmacher, Frank - In: Journal of international financial markets, … 24 (2013), pp. 153-165

Persistent link: https://www.econbiz.de/10009726414

Hedge fund performance evaluation using the Sharpe and Omega ratios

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 3, pp. 485-512

Persistent link: https://www.econbiz.de/10010370229

Performance hypothesis testing with the sharpe ratio : the case of hedge funds

Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 10 (2013) 4, pp. 196-208

Persistent link: https://www.econbiz.de/10010252332

Testing equality of modified Sharpe ratios

Ardia, David; Boudt, Kris - In: Finance research letters 13 (2015), pp. 97-104

Persistent link: https://www.econbiz.de/10011552416

An empirical study of impact of EVA Momentum on the shareholders value creation as compared to traditional financial performance measures : with special reference to the UAE

Fayed, Ahmed Magdy; Dubey, Suchi - In: International journal of economics and finance 8 (2016) 5, pp. 23-38

Persistent link: https://www.econbiz.de/10011487247

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