A Bayesian Approach for Estimating Mean-Standard Deviation Ratios of Financial Data
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2015
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Abstract
The relation between excess return and risk of financial assets is frequently determined by the mean-standard deviation ratio. Previous research in this matter only derived Point Estimators of this parameter while Inference procedures are currently void. This paper derives a Bayesian procedure for making Inference of this ratio which is easy to apply. Specifically, a method for testing if two ratio coefficients are equal for two independent population segments is derived. This, hence, provides the analyst with a tool for assessing if, e.g. Technique Stocks and Forestry Stocks, have equal risk/return ratio. This paper demonstrates the procedure by an empirical application using data from the Stockholm Stock Exchange.
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| Authors | Rashid Mansoor |
| Journal | Journal of Statistics |
| Year | 2015 |
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| Keywords | Keywords not found |
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