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|Title:||The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test||Authors:||Bai, Z.
|Keywords:||Coefficient of variation
Uniformly most powerful unbiased test
|Issue Date:||Aug-2011||Citation:||Bai, Z., Wang, K., Wong, W.-K. (2011-08). The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test. Statistics and Probability Letters 81 (8) : 1078-1085. ScholarBank@NUS Repository. https://doi.org/10.1016/j.spl.2011.02.035||Abstract:||To circumvent the limitations of the tests for coefficients of variation and Sharpe ratios, we develop the mean-variance ratio statistic for testing the equality of mean-variance ratios, and prove that our proposed statistic is the uniformly most powerful unbiased statistic. In addition, we illustrate the applicability of our proposed test for comparing the performances of stock indices. © 2011 Elsevier B.V.||Source Title:||Statistics and Probability Letters||URI:||http://scholarbank.nus.edu.sg/handle/10635/105424||ISSN:||01677152||DOI:||10.1016/j.spl.2011.02.035|
|Appears in Collections:||Staff Publications|
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