@article{c8b998b6537c404e8d88f866003fa764,
title = "The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test",
abstract = "To circumvent the limitations of the tests for coefficients of variation and Sharpe ratios, we develop the mean-variance ratio statistic for testing the equality of mean-variance ratios, and prove that our proposed statistic is the uniformly most powerful unbiased statistic. In addition, we illustrate the applicability of our proposed test for comparing the performances of stock indices.",
keywords = "Coefficient of variation, Sharpe ratio, Mean–variance ratio, Hypothesis testing, Uniformly most powerful unbiased test",
author = "Zhidong Bai and Keyan Wang and Wing-Keung Wong",
note = "Funding Information: The authors are grateful to Professor Hira Koul and the anonymous associate editor for substantive comments that have significantly improved this manuscript. The third author would also like to thank Professors Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement. This research is partially supported by NSF China #10871036 , Research Grants Council of Hong Kong #202809 , and NUS grant R-155-000-096-720 , and Hong Kong Baptist University . ",
year = "2011",
month = aug,
doi = "10.1016/j.spl.2011.02.035",
language = "English",
volume = "81",
pages = "1078--1085",
journal = "Statistics and Probability Letters",
issn = "0167-7152",
publisher = "Elsevier B.V.",
number = "8",
}