The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test

Zhidong Bai, Keyan Wang, Wing Keung WONG*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

25 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)1078-1085
Number of pages8
JournalStatistics and Probability Letters
Volume81
Issue number8
DOIs
Publication statusPublished - Aug 2011

Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • Coefficient of variation
  • Hypothesis testing
  • Mean-variance ratio
  • Sharpe ratio
  • Uniformly most powerful unbiased test

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