About this document
Robust Sharpe Ratio Testing Methods by SergeGardien is a document available to read on EtoBox.
This document discusses methods for testing the difference between the Sharpe ratios of two investment strategies. It notes that commonly used methods like the Jobson-Korkie test are not valid when returns have non-normal distributions or time series dependence. The document proposes using robust inference methods, specifically a studentized time series bootstrap to construct a confidence interval for the difference in Sharpe ratios. A simulation study shows this approach has better finite sample properties
- Author
- SergeGardien
- Language
- EN