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stat.ME2020
Inference on Achieved Signal Noise Ratio
Steven E. Pav
We describe a procedure to perform approximate inference on the achieved signal-noise ratio of the Markowitz Portfolio under Gaussian i.i.d. returns. The procedure relies on a stat…
stat.ME2019
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…