Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13
An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of … alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union … test takes serial dependence into account and does not presume that asset returns are multivariate normally distributed. An …