An intersection-union test for the sharpe ratio
Publication date
2018
Document type
Research article
Author
Organisational unit
Series or journal
Risks : open access journal
Periodical volume
6
Periodical issue
2 (Juni)
First page
1
Last page
13
Part of the university bibliography
✅
Abstract
An intersectionunion 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 intersectionunion test takes serial dependence into account and does not presume that asset returns are multivariate normally distributed. An empirical study based on the G7 countries demonstrates that it is hard to find significant results due to the lack of data, which confirms a general observation in empirical finance.
Cite as
Enthalten in: Risks. - Basel : MDPI, 2013. - Online-Ressource. - Bd. 6.2018, 2 (Juni), Seite 1-13
Version
Not applicable (or unknown)
Access right on openHSU
Metadata only access