Inference on the Sharpe ratio via the upsilon distribution
Statistical Finance
2021-08-17 v3 Applications
Abstract
The upsilon distribution, the sum of independent chi random variates and a normal, is introduced. As a special case, the upsilon distribution includes Lecoutre's lambda-prime distribution. The upsilon distribution finds application in Frequentist inference on the Sharpe ratio, including hypothesis tests on independent samples, confidence intervals, and prediction intervals, as well as their Bayesian counterparts. These tests are extended to the case of factor models of returns.
Cite
@article{arxiv.1505.00829,
title = {Inference on the Sharpe ratio via the upsilon distribution},
author = {Steven E. Pav},
journal= {arXiv preprint arXiv:1505.00829},
year = {2021}
}
Comments
Proposed statistical methodology is severely flawed and should not be used