Publication: Robust performance hypothesis testing with smooth functions of population moments
Robust performance hypothesis testing with smooth functions of population moments
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Ledoit, O., & Wolf, M. (2018). Robust performance hypothesis testing with smooth functions of population moments (No. 305; Working Paper Series / Department of Economics).
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Applied researchers often want to make inference for the difference of a given performance measure for two investment strategies. In this paper, we consider the class of performance measures that are smooth functions of population means of the underlying returns; this class is very rich and contains many performance measures of practical interest (such as the Sharpe ratio and the variance). Unfortunately, many of the inference procedures that have been suggested previously in the applied literature make unreasonable assumptions that d
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Ledoit, O., & Wolf, M. (2018). Robust performance hypothesis testing with smooth functions of population moments (No. 305; Working Paper Series / Department of Economics).
