On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares

By Pui Lam Leung, Wing-Keung Wong. 2008

110 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/174c99243a51eddeea29c38aa395ca6648e5fc3c

Citations in the corpus

• Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach (2010, unknown): “However, the Sharpe ratio test (Leung and Wong, 2008) shows that their differences are insignificant.”