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- Title
An Intersection–Union Test for the Sharpe Ratio.
- Authors
Frahm, Gabriel
- Abstract
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.
- Subjects
INVESTMENTS; SHARPE ratio; STRATEGIC planning; PERFORMANCE evaluation; DATA analysis; ECONOMICS
- Publication
Risks, 2018, Vol 6, Issue 2, p40
- ISSN
2227-9091
- Publication type
Article
- DOI
10.3390/risks6020040