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Discussion Papers in Statistics and Econometrics, Seminar für Wirtschafts- und Sozialstatistik, Universität Köln >

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dc.contributor.authorFrahm, Gabrielen_US
dc.date.accessioned2009-09-14en_US
dc.date.accessioned2011-04-14T12:29:13Z-
dc.date.available2011-04-14T12:29:13Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/44944-
dc.description.abstractSuppose that we are searching for the maximum of many unknown and analytically untractable quantities or, say, the 'best alternative' among several candidates. If our decision is based on historical or simulated data there is some sort of selection bias and it is not evident if our choice is significantly better than any other. In the present work a large sample test for the best alternative is derived in a rather general setting. The test is demonstrated by an application to financial data and compared with the Jobson-Korkie test for the Sharpe ratios of two asset portfolios. We find that ignoring conditional heteroscedasticity and non-normality of asset returns can lead to misleading decisions. In contrast, the presented test for the best alternative accounts for these kinds of phenomena.en_US
dc.language.isoengen_US
dc.publisherUniv., Seminar für Wirtschafts- und Sozialstatistik Kölnen_US
dc.relation.ispartofseriesDiscussion papers in statistics and econometrics 7/07en_US
dc.subject.jelG10en_US
dc.subject.jelB28en_US
dc.subject.ddc330en_US
dc.subject.keywordErgodicityen_US
dc.subject.keywordGordin's conditionen_US
dc.subject.keywordheteroscedasticityen_US
dc.subject.keywordJobson-Korkie testen_US
dc.subject.keywordMonte Carlo simulationen_US
dc.subject.keywordperformance measurementen_US
dc.subject.keywordSharpe ratioen_US
dc.titleTesting for the best alternative with an application to performance measurementen_US
dc.typeWorking Paperen_US
dc.identifier.ppn608700975en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:ucdpse:707-
Appears in Collections:Discussion Papers in Statistics and Econometrics, Seminar für Wirtschafts- und Sozialstatistik, Universität Köln

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