Document Type
Journal Article
Department/Unit
Department of Economics
Language
English
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.
Keywords
Coefficient of variation, Sharpe ratio, Mean–variance ratio, Hypothesis testing, Uniformly most powerful unbiased test
Publication Date
2011
Source Publication Title
Statistics & Probability Letters
Volume
81
Issue
8
Start Page
1078
End Page
1085
Publisher
Elsevier
Peer Reviewed
1
DOI
10.1016/j.spl.2011.02.035
Link to Publisher's Edition
http://dx.doi.org/10.1016/j.spl.2011.02.035
ISSN (print)
01677152
APA Citation
Bai, Z., Wang, K., & Wong, W. (2011). The mean–variance ratio test—A complement to the coefficient of variation test and the Sharpe ratio test. Statistics & Probability Letters, 81 (8). https://doi.org/10.1016/j.spl.2011.02.035