This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Performance Hypothesis Testing with the Sharpe and Treynor Measures Author info | Abstract | Publisher info | Download info | Related research | Statistics Jobson, J D
Korkie, Bob M
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by American Finance Association in its journal Journal of Finance .
Volume (Year): 36 (1981)
Issue (Month): 4 (September)
Pages: 889-908
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Handle: RePEc:bla:jfinan:v:36:y:1981:i:4:p:889-908Contact details of provider: Web page: http://www.afajof.org/ More information through EDIRC
Order Information: Web: http://www.afajof.org/membership/join.asp
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Darryll Hendricks & Jayendu Patel & Richard Zeckhauser, 1990.
"Hot Hands in Mutual Funds: The Persistence of Performance, 1974-87 ,"
NBER Working Papers
3389, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003.
"An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns ,"
NBER Working Papers
9571, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003.
"An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns ,"
Working papers
4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!] Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004.
"An econometric model of serial correlation and illiquidity in hedge fund returns ,"
Journal of Financial Economics ,
Elsevier, vol. 74(3), pages 529-609, December.
[Downloadable!] (restricted) Simon Stevenson, 2001.
"Bayes-Stein Estimators and International Real Estate Asset Allocation ,"
Journal of Real Estate Research ,
American Real Estate Society, vol. 21(1/2), pages 89-104.
[Downloadable!]
Marie-Paule Laurent, 2003.
"Indices as diversification instruments in Europe ,"
Working Papers CEB
03-004.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB).
[Downloadable!]
Thomas Lagoarde-Segot & Brian M. Lucey, 2006.
"Portfolio allocations in the Middle East and North Africa ,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp141, IIIS.
[Downloadable!]
John Knight & Stephen Satchell, 2005.
"A Re-Examination of Sharpe's Ratio for Log-Normal Prices ,"
Applied Mathematical Finance ,
Taylor and Francis Journals, vol. 12(1), pages 87-100, March.
[Downloadable!] (restricted)
J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002.
"The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll ,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
02/160, Ghent University, Faculty of Economics and Business Administration.
[Downloadable!]
Borgsen, Sina & Glaser, Markus, 2005.
"Diversifikationseffekte durch Small und Mid Caps? ,"
Sonderforschungsbereich 504 Publications
05-10, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
[Downloadable!]
Joel Owen & Ramón Rabinovitch, 1999.
"Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test ,"
Journal of Applied Economics ,
Universidad del CEMA, vol. 0, pages 97-130, May.
[Downloadable!]
Elena Andreou & Eric Ghysels, 2003.
"Test for Breaks in the Conditional Co-Movements of Asset Returns ,"
University of Cyprus Working Papers in Economics
3-2003, University of Cyprus Department of Economics.
[Downloadable!]
Other versions: Simon Stevenson, 2002.
"Momentum Effects and Mean Reversion in Real Estate Securities ,"
Journal of Real Estate Research ,
American Real Estate Society, vol. 23(1/2), pages 47-64.
[Downloadable!]
Van Overfelt W. & Annaert J. & De Ceuster M. & Deloof M., 2007.
"Do Universal Banks Create Value? Universal Bank Affiliation and Company Performance in Belgium, 1905-1909 ,"
Working Papers
2007001, University of Antwerp, Faculty of Applied Economics.
[Downloadable!]
Gyöngyi Bugár & Raimond Maurer, 2002.
"International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors ,"
Working Paper Series: Finance and Accounting
67, Department of Finance, Goethe University Frankfurt am Main.
[Downloadable!]
Michael B. Grelck & Stefan Prigge & Lars Tegtmeier & Mihail Topalov, 2008.
"Diversification Properties of Investments in Shipping ,"
Working Papers
011, Hanseatic University, Germany, Department of Economics.
[Downloadable!]
Bugàr, Gyöngyi & Maurer, Raimond, 2001.
"International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors ,"
Sonderforschungsbereich 504 Publications
01-10, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
[Downloadable!]
Wolfgang Schmid & Taras Zabolotskyy, 2008.
"On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio ,"
AStA Advances in Statistical Analysis ,
Springer, vol. 92(1), pages 29-34, February.
[Downloadable!] (restricted)
Oliver Ledoit & Michael Wolf, 2008.
"Robust Performance Hypothesis Testing with the Sharpe Ratio ,"
IEW - Working Papers
iewwp320, Institute for Empirical Research in Economics - IEW.
[Downloadable!]
Hui Guo & Jason Higbee, 2006.
"Market timing with aggregate and idiosyncratic stock volatilities ,"
Working Papers
2005-073, Federal Reserve Bank of St. Louis.
[Downloadable!]
Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007.
"Stochastic Dominance Analysis of iShares ,"
SCAPE Policy Research Working Paper Series
0706, National University of Singapore, Department of Economics, SCAPE.
[Downloadable!]
E. Blinder & C. S. Cheung & I. Krinsky, 1991.
"South Africa Divestment: The Canadian Case ,"
Canadian Public Policy ,
University of Toronto Press, vol. 17(1), pages 25-36, March.
[Downloadable!] (restricted)
Philippe Jorion & William N. Goetzmann, 2000.
"A Century of Global Stock Markets ,"
NBER Working Papers
7565, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
William N. Goetzmann & Philippe Jorion, 1997.
"A Century of Global Stock Markets ,"
Yale School of Management Working Papers
ysm53, Yale School of Management.
[Downloadable!] William N. Goetzmann & Philippe Jorion, 2004.
"A Century of Global Stock Markets ,"
Yale School of Management Working Papers
ysm16, Yale School of Management.
[Downloadable!] William N. Goetzmann & Philippe Jorion, 1997.
"A Century of Global Stock Markets ,"
NBER Working Papers
5901, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Simon Stevenson, 2000.
"International Real Estate Diversification: Empirical Tests using Hedged Indices ,"
Journal of Real Estate Research ,
American Real Estate Society, vol. 19(1), pages 105-131.
[Downloadable!]
Zwart, G.J. de & Markwat, T.D. & Swinkels, L. & Dijk, D.J.C. van, 2007.
"The Economic Value of Fundamental and Technical Information in Emerging Currency Markets ,"
Research Paper
ERS-2007-096-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
[Downloadable!]
Access and
download statistics Did you know? Citation analysis on IDEAS includes online papers that are freely accessible and whose text could be automatically analyzed, currently about 150000 papers.
This page was last updated on 2008-11-26.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .