文件名称：testing equality of modified Sharpe ratios.pdf
文件大小：362KB
文件格式：PDF
更新时间：2023-10-21 01:24:48
Sharperatio
The Sharpe ratio (Sharpe 1992) is one industry standard for measuring the absolute risk adjusted performance of hedge funds. This function performs the testing of Sharpe ratio difference for two funds using the approach by Ledoit and Wolf (2002).