Mean-Variance Ratio Test, a Complement of Coefficients of Variation Test and Sharpe Ratio Test
14 Pages Posted: 12 Mar 2010
Date Written: March 10, 2010
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
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