To circumvent the limitations of the tests for coefficients of variation and Sharpe ratio, we develop the mean-variance-ratio statistic to test for the equality of the mean-variance ratios. We prove that our proposed statistic is uniformly most powerful unbiased. In addition, we provide the...

Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence...

Using the Markowitz mean-variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai, Liu, and Wong (2009) propose a...