| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Frahm, Gabriel | - |
| dc.date.accessioned | 2020-05-03T13:54:01Z | - |
| dc.date.available | 2020-05-03T13:54:01Z | - |
| dc.date.issued | 2018 | - |
| dc.identifier.citation | Enthalten in: Risks. - Basel : MDPI, 2013. - Online-Ressource. - Bd. 6.2018, 2 (Juni), Seite 1-13 | - |
| dc.description.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. | - |
| dc.description.sponsorship | Angewandte Stochastik und Risikomanagement | - |
| dc.language.iso | eng | - |
| dc.publisher | MDPI | - |
| dc.relation.ispartof | Risks : open access journal | - |
| dc.title | An intersection-union test for the sharpe ratio | - |
| dc.type | Article | - |
| dc.identifier.doi | 10.3390/risks6020040 | - |
| dcterms.bibliographicCitation.volume | 6 | - |
| dcterms.bibliographicCitation.issue | 2 (Juni) | - |
| dcterms.bibliographicCitation.pagestart | 1 | - |
| dcterms.bibliographicCitation.pageend | 13 | - |
| dcterms.bibliographicCitation.originalpublisherplace | Basel | - |
| dc.identifier.url | http://hdl.handle.net/10419/195832 | - |
| dc.identifier.url | http://www.mdpi.com/2227-9091/6/2/40/pdf | - |
| local.submission.type | only-metadata | - |
| hsu.opac.import | opac-2018 | - |
| hsu.identifier.ppn | 1025518330 | - |
| item.grantfulltext | none | - |
| item.languageiso639-1 | en | - |
| item.fulltext_s | No Fulltext | - |
| item.openairetype | Article | - |
| item.fulltext | No Fulltext | - |
| crisitem.author.dept | Angewandte Stochastik und Risikomanagement | - |
| crisitem.author.orcid | 0000-0001-7507-730X | - |
| crisitem.author.parentorg | Fakultät für Wirtschafts- und Sozialwissenschaften | - |
| Appears in Collections: | 3 - Publication references (without fulltext) | |
CORE Recommender
User Tools
Items in openHSU are protected by copyright, with all rights reserved, unless otherwise indicated.