Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns
Work
Year: 2020
Type: article
Abstract: A higher-order likelihood-based asymptotic method to obtain inference for the difference between two KS Sharpe ratios when gross returns of an investment are assumed to be lognormally distributed is p... more
Authors Ji Qi, M. Rekkas, Augustine Wong
Cites: 16
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Related to: 10
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Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,025