An Intersection–Union Test for the Sharpe Ratio

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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Bibliographic Details
Main Author: Gabriel Frahm
Format: Article
Language:English
Published: MDPI AG 2018-04-01
Series:Risks
Subjects:
ergodicity
Gordin’s condition
heteroscedasticity
intersection–union test
Jobson–Korkie test
performance measurement
Sharpe ratio
Online Access:http://www.mdpi.com/2227-9091/6/2/40

Internet

http://www.mdpi.com/2227-9091/6/2/40

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