Abstract The Jobson-Korkie-test of equal Sharpe Ratios is widely used in the performance
evaluation literature. This letter has two purposes: First, it corrects a typographical error in …

In this paper, we present a finite sample analysis of the sample minimum-variance frontier
under the assumption that the returns are independent and multivariate normally distributed …

To circumvent the limitations of the tests for coefficients of variation and Sharpe ratios, we
develop the mean–variance ratio statistic for testing the equality of mean–variance ratios …

In this paper, we provide evidence that the mean-variance-ratio (MVR) test is superior to the
Sharpe ratio (SR) test by applying both tests to analyze the performance of commodity …

We propose and develop mean-variance-ratio (MVR) statistics for comparing the
performance of prospects (eg, investment portfolios, assets, etc.) after the effect of the …

Bu çalışmada amaçlanan daha önce sıklıkla uygulanan portföy teorisi performans ölçüm
endeksleri ile Veri Zarflama Analizi hesaplamalarını yatırım fonları performansına …

The goal of this paper is to debunk and dispel the magic behind the black-box quantitative
strategies. It aims to build a solid foundation on how and why the techniques work. This …

Page 1 GABLER EDITION WISSENSCHAFT Frank Simon Unternehmerischer Erfolg und
gesellschaftliche Verantwortung DUN Deutscher Universitäts Verlag GABLER VIEWEG …

The estimation of expected security returns is one of the major tasks for the practical
implementation of the Markowitz optimization. Against this background, in 1992 Black and …

The Treynor index, a well‐known, widely‐used measure of portfolio performance, is the ratio
of the mean excess rate of return of the portfolio to the portfolio's beta. We derive an …