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 |