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Moments of the estimated Sharpe ratio when the observations are not IID

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  • Bao, Yong
  • Ullah, Aman

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  • Bao, Yong & Ullah, Aman, 2006. "Moments of the estimated Sharpe ratio when the observations are not IID," Finance Research Letters, Elsevier, vol. 3(1), pages 49-56, March.
    • Handle: RePEc:eee:finlet:v:3:y:2006:i:1:p:49-56
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    References listed on IDEAS

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    1. Ullah, Aman, 2004. "Finite Sample Econometrics," OUP Catalogue, Oxford University Press, number 9780198774488.
    2. Wright, Jonathan H, 2000. "Alternative Variance-Ratio Tests Using Ranks and Signs," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 1-9, January.
    3. Miller, Robert E. & Gehr, Adam K., 1978. "Sample Size Bias and Sharpe's Performance Measure: A Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(5), pages 943-946, December.
    4. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
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    Cited by:

    1. Schuster, Martin & Auer, Benjamin R., 2012. "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, vol. 116(1), pages 124-128.
    2. Ken Johnston & John Hatem & Elton Scott, 2013. "A note on the evaluation of long-run investment decisions using the sharpe ratio," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(1), pages 150-157, January.
    3. Gonzales, Rolando, 2009. "Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping [Portfolio analysis with Sharpe ratios resampled by bootstrapping]," MPRA Paper 28402, University Library of Munich, Germany.
    4. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    5. Mahesh K.C & Arnab Kumar Laha, 2021. "A Robust Sharpe Ratio," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 444-465, November.
    6. John Douglas (J.D.) Opdyke, 2007. "Comparing Sharpe ratios: So where are the p-values?," Journal of Asset Management, Palgrave Macmillan, vol. 8(5), pages 308-336, December.

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