The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test

The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test

10.1016/j.spl.2011.02.035

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Bibliographic Details
Main Authors: Bai, Z., Wang, K., Wong, W.-K.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2014
Subjects:
Coefficient of variation
Hypothesis testing
Mean-variance ratio
Sharpe ratio
Uniformly most powerful unbiased test
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105424
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Institution: National University of Singapore
Description
Summary:10.1016/j.spl.2011.02.035

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