DOAJ Open Access 2018

An Intersection–Union Test for the Sharpe Ratio

Gabriel Frahm

Lihat Sumber DOI

Abstrak

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.

Topik & Kata Kunci

Insurance

Penulis (1)

Gabriel Frahm

Format Sitasi

APA MLA BibTeX

Frahm, G. (2018). An Intersection–Union Test for the Sharpe Ratio. https://doi.org/10.3390/risks6020040

Akses Cepat

Lihat di Sumber doi.org/10.3390/risks6020040

Informasi Jurnal

Tahun Terbit: 2018
Sumber Database: DOAJ
DOI: 10.3390/risks6020040
Akses: Open Access ✓