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

Statistics and Probability Letters

Volumn 81, Issue 8, 2011, Pages 1078-1085

  Bai, Zhidong ^a,c   Wang, Keyan ^b   Wong, Wing Keung ^d  

^a NORTHEAST NORMAL UNIVERSITY   (China)

^b SHANGHAI LIXIN UNIVERSITY OF ACCOUNTING AND FINANCE   (China)

^c NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^d HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Coefficient of variation; Hypothesis testing; Mean variance ratio; Sharpe ratio; Uniformly most powerful unbiased test

Indexed keywords

EID: 79956198148     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2011.02.035     Document Type: Article

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