Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/44944 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorFrahm, Gabrielen
dc.date.accessioned2009-09-14-
dc.date.accessioned2011-04-14T12:29:13Z-
dc.date.available2011-04-14T12:29:13Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Seminar of Economic and Social Statistics |cCologneen
dc.relation.ispartofseries|aDiscussion Papers in Statistics and Econometrics |x7/07en
dc.subject.jelG10en
dc.subject.jelB20en
dc.subject.ddc330en
dc.subject.keywordErgodicityen
dc.subject.keywordGordin's conditionen
dc.subject.keywordheteroscedasticityen
dc.subject.keywordJobson-Korkie testen
dc.subject.keywordMonte Carlo simulationen
dc.subject.keywordperformance measurementen
dc.subject.keywordSharpe ratioen
dc.titleTesting for the best alternative with an application to performance measurement-
dc.typeWorking Paperen
dc.identifier.ppn608700975en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ucdpse:707en

Files in This Item:
File
Size
172.17 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.