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Robust Performance Hypothesis Testing with the Sharpe Ratio · Study

PreprintShelves

PreprintRobust Performance Hypothesis Testing with the Sharpe Ratio

Michael Wolf2007

OA

Preprintgreen2007

Robust Performance Hypothesis Testing with the Sharpe Ratio

119 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 119 citations exist upstream.

References

2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1994Automatic Lag Selection in Covariance Matrix Estimation 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures 2002The Statistics of Sharpe Ratios

Cited by

2011Improving Portfolio Selection Using Option-Implied Volatility and Skewness 2014Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks 2013A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES 2009The pricing of temperature futures at the Chicago Mercantile Exchange 2008The coefficient of variation asymptotic distribution in the case of non-iid random variables 2010Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset-Allocation Perspective 2015A Robust Statistics Approach to Minimum Variance Portfolio Optimization 2014Testing Rebalancing Strategies for Stock-Bond Portfolios Across Different Asset Allocations

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations119

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.985038

openalex_workW1984038545

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