Augustine C. M. Wong

Accurate Inference on Sharpe Ratios and Testing Their Homogeneity via Bartlett-Type Correction

The Sharpe ratio is a prominent risk-adjusted performance measure used in investment analysis. In this paper, we assume that a random sample is available from a normal distribution and propose a simple and accurate method for inference on the Sharpe ratio. Moreover, the rate of convergence of the proposed method is der...