Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/195832 
Autor:innen: 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-13
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
ergodicity
Gordin's condition
heteroscedasticity
intersection-union test
Jobson-Korkie test
performance measurement
Sharpe ratio
JEL: 
C12
G11
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.2 MB





Publikationen in EconStor sind urheberrechtlich geschützt.