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Comparing Large-Sample Maximum Sharpe Ratios and Incremental Variable Testing

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Reference

Hanke, M., & Penev, S. (2018). Comparing Large-Sample Maximum Sharpe Ratios and Incremental Variable Testing. European Journal of Operational Research, 265(2), 571-579. (ABDC: A*; ABS: 4; ISI: 3.582; VHB: A)

Publication type

Refereed Journal Article

Persons

Organizational Units

  • Chair in Finance
  • Institute for Finance

Original Source URL

Link

DOI

http://dx.doi.org/https://doi.org/10.1016/j.ejor.2017.08.018