Authors: Matteo Riondato (Labs, Two Sigma)
Published in: Two Sigma Technical Report Series, No. 2018-001
Abstract: We survey and discuss methods proposed in the literature for 1. estimating the Sharpe ratio; 2. computing confidence intervals around a point estimation of the Sharpe ratio; and 3. performing hypothesis testing on a single Sharpe ratio and on the difference between two Sharpe ratios.
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