Comparing Sharpe ratios: So where are the p-values?

By John Douglas Opdyke. 2007

157 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/77448b71402c706a687fe86231d6d895d67252cc

Citations in the corpus

• Robust Performance Hypothesis Testing with the Sharpe Ratio (2008, unknown): “Opdyke (2007) discusses both inferences for a single Sharpe ratio and for the difference of two Sharpe ratios.”
• Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches (2017, unknown): “We use the two-sample statistic to test if the difference in Sharpe ratios of two portfolios is significant (Opdyke 2007).”
• The Sharpe Ratio Efficient Frontier (2012, unknown): “Fortunately, Opdyke (2007) has shown that Mertens’ equation has a limiting distribution that is valid under the more general assumption of stationary and ergodic returns, and not only IID.”