13 citations · 23 across the 13 of their papers we have counts for
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q-fin.ST2019★ 2 cited
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…
q-fin.ST2015
Safety Third: Roy's Criterion and Higher Order Moments
Steven E. Pav
Roy's `Safety First' criterion for selecting one risky asset from many is adapted to the case of non-normal returns, via Cornish Fisher expansion. The resulting investment objectiv…
q-fin.ST2015★ 2 cited
Inference on the Sharpe ratio via the upsilon distribution
Steven E. Pav
The upsilon distribution, the sum of independent chi random variates and a normal, is introduced. As a special case, the upsilon distribution includes Lecoutre's lambda-prime distr…