Estimating Sharpe ratio function in the presence of measurement error
Sign Up to like & getrecommendations! Published in 2025 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2024.2444501
Abstract: Abstract In financial econometrics, the Sharpe ratio function serves as a gold standard to measure the return-to-risk ratio for comparing different assets or trading strategies. In the recent literature, several methods have been developed to… read more here.
Keywords: function presence; sharpe ratio; presence measurement; ratio function ... See more keywords
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