夏普比率
统计的
统计
检验统计量
统计假设检验
考试(生物学)
数学
计量经济学
计算机科学
经济
生物
金融经济学
古生物学
文件夹
出处
期刊:Social Science Research Network
[Social Science Electronic Publishing]
日期:2003-06-06
被引量:108
摘要
The Jobson-Korkie-test of equal Sharpe Ratios is widely used in the performance evaluation literature. This letter has two purposes: First, it corrects a typographical error in the test statistic. Second, it shows that the test statistic can be simplified without loss of its statistical properties.
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