Article ID Journal Published Year Pages File Type
5069911 Finance Research Letters 2006 8 Pages PDF
Abstract
We develop the analytical second-order bias and variance of the estimated Sharpe ratio when the return series is not IID. We show that the bias and variance formulae depend upon the covariance structure of the data generating process.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Moments of the estimated Sharpe ratio when the observations are not IID
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