5 papers
Post Selection Estimation of Sharpe Ratios
Steven E. Pav
We consider the problem of estimating the true Sharpe ratio of an asset selected for having the highest observed in-sample Sharpe ratio among many assets. We discuss estimators bas…
Inferring Piece Value in Chess and Chess Variants
Steven E. Pav
We use logistic regression to estimate the value of the pieces in standard chess and several chess variants, namely Chess 960, Atomic chess, Antichess, and Horde chess. We perform…
A post hoc test on the Sharpe ratio
Steven E. Pav
We describe a post hoc test for the Sharpe ratio, analogous to Tukey's test for pairwise equality of means. The test can be applied after rejection of the hypothesis that all popul…
Conditional inference on the asset with maximum Sharpe ratio
Steven E. Pav
We apply the procedure of Lee et al. to the problem of performing inference on the signal-noise ratio of the asset which displays maximum sample Sharpe ratio over a set of possibly…
The Sherman-Morrison-Markowitz Portfolio
Steven E. Pav
We show that the Markowitz portfolio is a scalar multiple of another portfolio which replaces the covariance with the second moment matrix, via simple application of the Sherman-Mo…