Keyan Wong

National University of Singapore (NUS)

Bukit Timah Road 469 G

Singapore, 117591

Singapore

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Scholarly Papers (1)

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An Improvement of the Sharpe-Ratio Test on Small Samples -- Mean-Variance Ratio Test

Number of pages: 13 Posted: 04 Feb 2009 Last Revised: 07 Feb 2009
Zhidong Bai, Keyan Wong and Wing-Keung Wong
Northeast Normal University, National University of Singapore (NUS) and Asia University, Department of Finance
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Abstract:

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Sharpe ratio, mean-variance ratio, test statistics, hypothesis testing, uniformly most powerful unbiased test