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A test of relative efficiency between two sets of securities

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  • Pin-Huang Chou

Abstract

Based on a Markov chain Monte Carlo method, namely the Gibbs sampler, a simple approach is proposed to compare the potential performances between two sets of securities. The maximum attainable Sharpe measure is used to measure the potential performance of a set of securities. The procedure is easy to implement and does not require large samples.

Suggested Citation

  • Pin-Huang Chou, 1997. "A test of relative efficiency between two sets of securities," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 192-195.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:192-195
    DOI: 10.1080/096031097333754
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    References listed on IDEAS

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    1. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(3), pages 409-431, August.
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    Cited by:

    1. Huang, Mei-Yueh & Lin, Jun-Biao, 2011. "Do ETFs provide effective international diversification?," Research in International Business and Finance, Elsevier, vol. 25(3), pages 335-344, September.

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