Mean-Variance Ratio Test, a Complement of Coefficients of Variation Test and Sharpe Ratio Test

14 Pages Posted: 12 Mar 2010

See all articles by Zhidong Bai

Zhidong Bai

Northeast Normal University

Keyan Wang

Northeast Normal University

Wing-Keung Wong

Asia University, Department of Finance

Date Written: March 10, 2010

Abstract

To circumvent the limitations of the tests for coefficients of variation and Sharpe ratio, we develop the mean-variance-ratio statistic to test for the equality of the mean-variance ratios. We prove that our proposed statistic is uniformly most powerful unbiased. In addition, we provide the reasonings of using our proposed test statistic.

Keywords: Coefficient of variation, Sharpe ratio, mean-variance ratio, test statistic, hypothesis testing, uniformly most powerful unbiased test

JEL Classification: C12, G11

Suggested Citation

Bai, Zhidong and Wang, Keyan and Wong, Wing-Keung, Mean-Variance Ratio Test, a Complement of Coefficients of Variation Test and Sharpe Ratio Test (March 10, 2010). Available at SSRN: https://ssrn.com/abstract=1567966 or http://dx.doi.org/10.2139/ssrn.1567966

Zhidong Bai

Northeast Normal University ( email )

Changchun
China

Keyan Wang

Northeast Normal University ( email )

Changchun
China

Wing-Keung Wong (Contact Author)

Asia University, Department of Finance ( email )

Taiwan
Taiwan

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