An Intersection–Union Test for the Sharpe Ratio
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...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-04-01
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| Series: | Risks |
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| Online Access: | http://www.mdpi.com/2227-9091/6/2/40 |
| _version_ | 1819289795998777344 |
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| author | Gabriel Frahm |
| author_facet | Gabriel Frahm |
| author_sort | Gabriel Frahm |
| collection | DOAJ |
| description | 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 does not presume that asset returns are multivariate normally distributed. An empirical study based on the G–7 countries demonstrates that it is hard to find significant results due to the lack of data, which confirms a general observation in empirical finance. |
| first_indexed | 2024-12-24T03:12:32Z |
| format | Article |
| id | doaj.art-000235ee95e64911b7220cdfaf223475 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-12-24T03:12:32Z |
| publishDate | 2018-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-000235ee95e64911b7220cdfaf2234752022-12-21T17:17:43ZengMDPI AGRisks2227-90912018-04-01624010.3390/risks6020040risks6020040An Intersection–Union Test for the Sharpe RatioGabriel Frahm0Chair of Applied Stochastics and Risk Management, Department of Mathematics and Statistics, Helmut Schmidt University, Holstenhofweg 85, D-22043 Hamburg, GermanyAn 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 does not presume that asset returns are multivariate normally distributed. An empirical study based on the G–7 countries demonstrates that it is hard to find significant results due to the lack of data, which confirms a general observation in empirical finance.http://www.mdpi.com/2227-9091/6/2/40ergodicityGordin’s conditionheteroscedasticityintersection–union testJobson–Korkie testperformance measurementSharpe ratio |
| spellingShingle | Gabriel Frahm An Intersection–Union Test for the Sharpe Ratio Risks ergodicity Gordin’s condition heteroscedasticity intersection–union test Jobson–Korkie test performance measurement Sharpe ratio |
| title | An Intersection–Union Test for the Sharpe Ratio |
| title_full | An Intersection–Union Test for the Sharpe Ratio |
| title_fullStr | An Intersection–Union Test for the Sharpe Ratio |
| title_full_unstemmed | An Intersection–Union Test for the Sharpe Ratio |
| title_short | An Intersection–Union Test for the Sharpe Ratio |
| title_sort | intersection union test for the sharpe ratio |
| topic | ergodicity Gordin’s condition heteroscedasticity intersection–union test Jobson–Korkie test performance measurement Sharpe ratio |
| url | http://www.mdpi.com/2227-9091/6/2/40 |
| work_keys_str_mv | AT gabrielfrahm anintersectionuniontestforthesharperatio AT gabrielfrahm intersectionuniontestforthesharperatio |