Title: An intersection-union test for the sharpe ratio
Authors: Frahm, Gabriel  
Language: en
Keywords: Universit├Ątsbibliographie;Evaluation 2018
Issue Date: 2018
Publisher: MDPI
Document Type: Article
Source: Enthalten in: Risks. - Basel : MDPI, 2013. - Online-Ressource. - Bd. 6.2018, 2 (Juni), Seite 1-13
Journal / Series / Working Paper (HSU): Risks : open access journal 
Volume: 6
Issue: 2 (Juni)
Page Start: 1
Page End: 13
Publisher Place: Basel
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.
Organization Units (connected with the publication): Angewandte Stochastik und Risikomanagement 
URL: https://ub.hsu-hh.de/DB=1.8/XMLPRS=N/PPN?PPN=1025518330
Appears in Collections:2018

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