对数正态收益下两个独立KS Sharpe比率差的推断

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2020-10-10 DOI:10.1155/2020/6751574

J. Qi, M. Rekkas, A. Wong

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引用次数: 0

摘要

提出了一种基于高阶似然的渐近方法，用于推断当投资总收益假定为对数正态分布时两个KS-Sharpe比率之间的差异。从理论上讲，我们提出的方法−3/2分布精度，而传统的推理方法有−1/2分布精确通过一个例子，我们展示了置信区间结果的不一致性，这取决于所使用的方法。我们能够通过仿真研究证明我们提出的方法的准确性。

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Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns

A higher-order likelihood-based asymptotic method to obtain inference for the difference between two KS Sharpe ratios when gross returns of an investment are assumed to be lognormally distributed is proposed. Theoretically, our proposed method has

O (n^{- 3 / 2})

distributional accuracy, whereas conventional methods for inference have

O (n^{- 1 / 2})

distributional accuracy. Using an example, we show how discordant confidence interval results can be depending on the methodology used. We are able to demonstrate the accuracy of our proposed method through simulation studies.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.