Document Type

Journal Article

Department/ Unit

Department of Economics

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.

Publication Year

2011

Journal Title

Statistics & Probability Letters

Volume number

81

Issue number

8

Publisher

Elsevier

First Page (page number)

1078

Last Page (page number)

1085

Referreed

1

DOI

10.1016/j.spl.2011.02.035

ISSN (print)

0167-7152

Link to Publisher’s Edition

http://dx.doi.org/10.1016/j.spl.2011.02.035

Keywords

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

Included in

Economics Commons

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