Nonparametric Sharpe Ratio |
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Authors: | Mukherjee Debasri Ullah Aman |
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Institution: | 113.Department of Economics, Western Michigan University, USA ;213.Department of Economics, University of California, Riverside, USA ; |
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Abstract: | Sharpe ratio is a widely accepted tool for comparing the portfolio performance. In this paper we have proposed a nonparametric measure of the Sharpe rule. The statistical properties of this nonparametric measure and the standard Sharpe ratio are then developed under both normality and non-normality of observations. Further thebias corrected measures are given. An empirical application is also provided. |
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