An Intersection–Union Test for the Sharpe Ratio

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ID: 13260
2018
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Abstract
An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and does not presume that asset returns are multivariate normally distributed. An empirical study based on the G–7 countries demonstrates that it is hard to find significant results due to the lack of data, which confirms a general observation in empirical finance.
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frahm2018anrisks Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Frahm, Gabriel;
Journal risks
Year 2018
DOI
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URL
http://www.mdpi.com/2227-9091/6/2/40
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