Comparing Sharpe ratios: So where are the p-values?-Reference-Cited by-同舟云学术

Comparing Sharpe ratios: So where are the p-values?

Published:2007-11-30 Issue:5 Volume:8 Page:308-336
ISSN:1470-8272
Container-title:Journal of Asset Management
language:en
Short-container-title:J Asset Manag

Author:

Opdyke John Douglas

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Link

http://link.springer.com/content/pdf/10.1057/palgrave.jam.2250084.pdf

Reference70 articles.

1. Akeda, Y. (2003) ‘Another Interpretation of Negative Sharpe Ratio’, The Journal of Performance Measurement, 7 (3), 19–23.

2. Ayebo, A. and Kozubowski, T. (2003) ‘An Asymmetric Generalization of Gaussian and Laplace Laws’, Journal of Probability and Statistical Science, 1 (2), 187–210.

3. Azzalini, A. (1985) ‘A Class of Distributions Which Includes the Normal Ones’, Scandinavian Journal of Statistics, 12, 171–178.

4. Bao, Y. and Ullah, A. (2006) ‘Moments of the Estimated Sharpe Ratio when the Observations are not IID’, Finance Research Letters, 3, 49–56.

5. Be, T. W. (2000) ‘Excess Kurtosis of Conditional Distribution for Daily Stock Returns: The Case of Japan’, Applied Economics Letters, 7 (6), 353–355.

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