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

• 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
• Institution: National University of Singapore

10.1016/j.spl.2011.02.035