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The Influence of Higher Moments and Non-Normality on the Sharpe Ratio: A South African Perspective

Author

Listed:
  • Chris van Heerden

Abstract

Although the general assumption is that daily and monthly returns data are normally distributed (Aparicio & Estrada, 2001), the correct statistical distribution of returns must first be established (Linden, 2001), as it constitutes one of the elementary building blocks that will ensure accurate financial analyses (Taylor, 1986). The assumption of normality is also critical when […]

Suggested Citation

  • Chris van Heerden, 2015. "The Influence of Higher Moments and Non-Normality on the Sharpe Ratio: A South African Perspective," Working Papers 497, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:497
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    More about this item

    Keywords

    econometric modelling; Emerging economies; Healthcare;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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