Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195832 
Authors: 
Year of Publication: 
2018
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
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 empirical study based on the G-7 countries demonstrates that it is hard to find significant results due to the lack of data, which confirms a general observation in empirical finance.
Subjects: 
ergodicity
Gordin's condition
heteroscedasticity
intersection-union test
Jobson-Korkie test
performance measurement
Sharpe ratio
JEL: 
C12
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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