Moments of the Estimated Sharpe Ratio When the Observations Are Not IID

We develop the analytical second-order bias and variance of the estimated Sharpe ratio when the return series is not IID. We show that the bias and variance formulae depend upon the covariance structure of the data generating process

MoreLess

Year of publication:	2016
Authors:	Bao, Yong
Other Persons:	Ullah, Aman (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters, Vol. 3, No. 1, 2006, DOI: 10.1016/j.frl.2005.11.001 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 25, 2006 erstellt Volltext nicht verfügbar
Classification:	G11 - Portfolio Choice ; G31 - Capital Budgeting; Investment Policy ; G10 - General Financial Markets. General ; G19 - General Financial Markets. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012998082