13 citations · 23 across the 13 of their papers we have counts for
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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…
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…