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

Included in

Economics Commons

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