Asset Performance Evaluation with Mean-Variance Ratio

Asset Performance Evaluation with Mean-Variance Ratio

Bai, et al. (2011c) develop the mean-variance-ratio (MVR) statistic to test the performance among assets for small samples. They provide theoretical reasoning to use MVR and prove that our proposed statistic is uniformly most powerful unbiased. In this paper we illustrate the superiority of our prop...

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Bibliographic Details
Main Authors: Bai, Zhidong, PHOON, Kok Fai, Wang, Keyan, Wong, Wing-Keung
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Sharpe ratio
hypothesis testing
uniformly most powerful unbiased
Finance and Financial Management
Management Sciences and Quantitative Methods
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3156
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4155/viewcontent/2011PBFEAM_115.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/3156
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4155/viewcontent/2011PBFEAM_115.pdf

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