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...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |