Prospect performance evaluation: Making a case for a non-asymptotic UMPU test

Journal of Financial Econometrics

Volumn 10, Issue 4, 2012, Pages 703-732

  Bai, Zhidong ^a   Hui, Yongchang ^a   Wong, Wing Keung ^b   Zitikis, Ričardas ^c  

^a NORTHEAST NORMAL UNIVERSITY   (China)

^b HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

^c UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

Asset; Fund management; Hypothesis test; Investment portfolio; Mean variance ratio; Sharpe ratio; Uniformly most powerful unbiased test

Indexed keywords

EID: 84866375396     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbr020     Document Type: Article

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