Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns
A higher-order likelihood-based asymptotic method to obtain inference for the difference between two KS Sharpe ratios when gross returns of an investment are assumed to be lognormally distributed is proposed. Theoretically, our proposed method has On−3/2 distributional accuracy, whereas conventional...
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2020/6751574 |
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| author | J. Qi M. Rekkas A. Wong |
| author_facet | J. Qi M. Rekkas A. Wong |
| author_sort | J. Qi |
| collection | DOAJ |
| description | A higher-order likelihood-based asymptotic method to obtain inference for the difference between two KS Sharpe ratios when gross returns of an investment are assumed to be lognormally distributed is proposed. Theoretically, our proposed method has On−3/2 distributional accuracy, whereas conventional methods for inference have On−1/2 distributional accuracy. Using an example, we show how discordant confidence interval results can be depending on the methodology used. We are able to demonstrate the accuracy of our proposed method through simulation studies. |
| format | Article |
| id | doaj-art-7a04ad63c63549d88cec48eac3d41981 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-7a04ad63c63549d88cec48eac3d419812025-08-20T03:35:48ZengWileyJournal of Probability and Statistics1687-952X1687-95382020-01-01202010.1155/2020/67515746751574Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal ReturnsJ. Qi0M. Rekkas1A. Wong2Institute of Politics and Economics, Nanjing Audit University, 86 West Yushan Road, Nanjing, Jiangsu 211815, ChinaDepartment of Economics, Simon Fraser University, Western Mall 8888 University Drive, Burnaby, British Columbia V5A 1S6, CanadaDepartment of Mathematics and Statistics, York University, 4700 Keele Street, Toronto, Ontario M3J 1P3, CanadaA higher-order likelihood-based asymptotic method to obtain inference for the difference between two KS Sharpe ratios when gross returns of an investment are assumed to be lognormally distributed is proposed. Theoretically, our proposed method has On−3/2 distributional accuracy, whereas conventional methods for inference have On−1/2 distributional accuracy. Using an example, we show how discordant confidence interval results can be depending on the methodology used. We are able to demonstrate the accuracy of our proposed method through simulation studies.http://dx.doi.org/10.1155/2020/6751574 |
| spellingShingle | J. Qi M. Rekkas A. Wong Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns Journal of Probability and Statistics |
| title | Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns |
| title_full | Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns |
| title_fullStr | Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns |
| title_full_unstemmed | Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns |
| title_short | Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns |
| title_sort | inference for the difference of two independent ks sharpe ratios under lognormal returns |
| url | http://dx.doi.org/10.1155/2020/6751574 |
| work_keys_str_mv | AT jqi inferenceforthedifferenceoftwoindependentkssharperatiosunderlognormalreturns AT mrekkas inferenceforthedifferenceoftwoindependentkssharperatiosunderlognormalreturns AT awong inferenceforthedifferenceoftwoindependentkssharperatiosunderlognormalreturns |