Artikel
Nonparametric performance hypothesis testing with the information ratio
This study proposes a nonparametric bootstrap-based test to compare performances between two portfolios in terms of their information ratio. This serves as an extension to the literature that tests performance between two portfolio investment strategies that uses Sharpe ratio. Monte Carlo experiments show that the test has appropriate sizes and is powerful to most of the scenarios. However, the test does not perform well in highly correlated portfolio returns, but is better when the mean of portfolio return is modeled using an autocorrelated process.
- Language
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Englisch
- Bibliographic citation
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Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-17
- Classification
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Wirtschaft
- Subject
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bootstrap test
Information ratio
- Event
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Geistige Schöpfung
- (who)
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Aboy, Jacque Bon-Isaac
Magadia, Joselito
- Event
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Veröffentlichung
- (who)
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Taylor & Francis
- (where)
-
Abingdon
- (when)
-
2021
- DOI
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doi:10.1080/23322039.2021.1902031
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Aboy, Jacque Bon-Isaac
- Magadia, Joselito
- Taylor & Francis
Time of origin
- 2021
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