Related papers: A post hoc test on the Sharpe ratio
We apply the procedure of Lee et al. to the problem of performing inference on the signal-noise ratio of the asset which displays maximum sample Sharpe ratio over a set of possibly correlated assets. We find a multivariate analogue of the…
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return over the strategy standard deviation.…
We describe a statistical hypothesis test for the presence of a signal based on the likelihood ratio statistic. We derive the test for a case of interest and also show that for that case the test works very well, even far out in the tails…
This paper investigates a statistical procedure for testing the equality of two independently estimated covariance matrices when the number of potentially dependent data vectors is large and proportional to the size of the vectors, that is,…
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. However, unlike the Sharpe ratio, which provides a concise…
Equivalence tests, otherwise known as parity or similarity tests, are frequently used in ``bioequivalence studies" to establish practical equivalence rather than the usual statistical significant difference. In this article, we propose an…
In traditional hypothesis testing one must pre-specify the significance level $\alpha$ to bound the `size' of the test: its probability to falsely reject the hypothesis. Indeed, a data-dependent selection of $\alpha$ would generally distort…
In the present paper, using a replica analysis, we examine the portfolio optimization problem handled in previous work and discuss the minimization of investment risk under constraints of budget and expected return for the case that the…
In this article, we consider the problem of simultaneous testing of hypotheses when the individual test statistics are not necessarily independent. Specifically, we consider the problem of simultaneous testing of point null hypotheses…
This paper investigates a statistical procedure for testing the equality of two independent estimated covariance matrices when the number of potentially dependent data vectors is large and proportional to the size of the vectors, that is,…
This paper investigates a statistical procedure for testing the equality of two independent estimated covariance matrices when the number of potentially dependent data vectors is large and proportional to the size of the vectors, that is,…
We describe a procedure to perform approximate inference on the achieved signal-noise ratio of the Markowitz Portfolio under Gaussian i.i.d. returns. The procedure relies on a statistic similar to the Sharpe Ratio Information Criterion.…
We introduce a new measure of performance of investment strategies, the monotone Sharpe ratio. We study its properties, establish a connection with coherent risk measures, and obtain an efficient representation for using in applications.
Poisson random effect models with a shared random effect have been widely used in actuarial science for analyzing the number of claims. In particular, the random effect is a key factor in a posteriori risk classification. However, the…
Intraclass correlation in bilateral data has been investigated in recent decades with various statistical methods. In practice, stratifying bilateral data by some control variables will provide more sophisticated statistical results to…
Some large scale inference problems are considered based on using the relative belief ratio as a measure of statistical evidence. This approach is applied to the multiple testing problem. A particular application of this is concerned with…
The score test statistic using the observed information is easy to compute numerically. Its large sample distribution under the null hypothesis is well known and is equivalent to that of the score test based on the expected information, the…
We describe a statistical hypothesis test for the presence of a signal based on the likelihood ratio statistic. We derive the test for a special case of interest. We study extensions of the test to cases where there are multiple channels…
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a…
Sharpe ratio is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the excess return over the strategy standard deviation. However, the elements to compute the Sharpe ratio, namely,…