Adjusted Empirical Likelihood Method in the Presence of Nuisance Parameters with Application to the Sharpe Ratio

Adjusted Empirical Likelihood Method in the Presence of Nuisance Parameters with Application to the Sharpe Ratio

The Sharpe ratio is a widely used risk-adjusted performance measurement in economics and finance. Most of the known statistical inferential methods devoted to the Sharpe ratio are based on the assumption that the data are normally distributed. In this article, without making any distributional assum...

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Bibliographic Details
Main Authors: Yuejiao Fu, Hangjing Wang, Augustine Wong
Format: Article
Language:English
Published: MDPI AG 2018-04-01
Series:Entropy
Subjects:
adjusted empirical likelihood
coverage probability
nonparametric
nuisance parameter
Sharpe ratio
Online Access:http://www.mdpi.com/1099-4300/20/5/316

Internet

http://www.mdpi.com/1099-4300/20/5/316

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