The Statistics of Sharpe Ratios Andrew W. Lo The building blocks of the Sharpe ratio—expected returns and volatilities— are unknown quantities that must be estimated statistically and are, therefore, subject to estim

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Date: 2005-10-27 17:23:24 Econometrics Statistical inference Data analysis Sharpe ratio Normal distribution M-estimator Estimator Heteroscedasticity-consistent standard errors Generalized method of moments Statistics Estimation theory Statistical theory		The Statistics of Sharpe Ratios Andrew W. Lo The building blocks of the Sharpe ratio—expected returns and volatilities— are unknown quantities that must be estimated statistically and are, therefore, subject to estim Add to Reading List Source URL: edge-fund.com Download Document from Source Website File Size: 401,48 KB Share Document on Facebook

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