An Intersection–Union Test for the Sharpe Ratio
Gabriel Frahm • Risks
(2018)
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 interse...
DOAJ
Open Access (DOAJ)
DOI:
10.3390/risks6020040