Comparing large-sample maximum Sharpe ratios and incremental variable testing
Michael Hanke, Spiridon Penev
| Year of publication: |
1 March 2018
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|---|---|
| Authors: | Hanke, Michael ; Penev, Spiridon |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 265.2018, 2 (1.3.), p. 571-579
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| Subject: | Multivariate statistics | Finance | Maximum Sharpe ratio | Incremental variables | Mean-variance spanning | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Statistische Methodenlehre | Statistical theory | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.08.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011811449