The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test

Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.spl.2011.02.035

Title:	The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test
Authors:	Bai, Z. Wang, K. Wong, W.-K.
Keywords:	Coefficient of variation Hypothesis testing Mean-variance ratio Sharpe ratio 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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