Asset Performance Evaluation with Mean-Variance Ratio

• Main Authors: Bai, Zhidong, PHOON, Kok Fai, Wang, Keyan, Wong, Wing-Keung
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2011
• 主題: Sharpe ratio; hypothesis testing; uniformly most powerful unbiased; Finance and Financial Management; Management Sciences and Quantitative Methods
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/3156; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4155/viewcontent/2011PBFEAM_115.pdf

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...