Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/270059 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 9 [Issue:] 1 [Article No.:] 1902031 [Year:] 2021 [Pages:] 1-17
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
This study proposes a nonparametric bootstrap-based test to compare performances between two portfolios in terms of their information ratio. This serves as an extension to the literature that tests performance between two portfolio investment strategies that uses Sharpe ratio. Monte Carlo experiments show that the test has appropriate sizes and is powerful to most of the scenarios. However, the test does not perform well in highly correlated portfolio returns, but is better when the mean of portfolio return is modeled using an autocorrelated process.
Schlagwörter: 
bootstrap test
Information ratio
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