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 journalJournal articlepeer-review

    32 Citations (Scopus)
    83 Downloads (Pure)

    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
    Early online date2 Mar 2011
    DOIs
    Publication statusPublished - Aug 2011

    Scopus Subject Areas

    • Statistics and Probability
    • Statistics, Probability and Uncertainty

    User-Defined Keywords

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

    Fingerprint

    Dive into the research topics of 'The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test'. Together they form a unique fingerprint.

    Cite this