Adjusted Empirical Likelihood Method in the Presence of Nuisance Parameters with Application to the Sharpe Ratio
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DOI: 10.3390/e20050316
Abstract: The Sharpe ratio is a widely used risk-adjusted performance measurement in economics and finance. Most of the known statistical inferential methods devoted to the Sharpe ratio are based on the assumption that the data are… read more here.
Keywords: sharpe ratio; method; empirical likelihood; adjusted empirical ... See more keywords