An Intersection–Union Test for the Sharpe Ratio
AbstractAn 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. View Full-Text
Share & Cite This Article
Frahm, G. An Intersection–Union Test for the Sharpe Ratio. Risks 2018, 6, 40.
Frahm G. An Intersection–Union Test for the Sharpe Ratio. Risks. 2018; 6(2):40.Chicago/Turabian Style
Frahm, Gabriel. 2018. "An Intersection–Union Test for the Sharpe Ratio." Risks 6, no. 2: 40.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.