The mean–variance ratio test—A complement to the coefficient of variation test and the Sharpe ratio test
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چکیده
To circumvent the limitations of the tests for coefficients of variation and Sharpe ratios, we develop the mean-variance-ratio statistic to test the equality of the meanvariance ratios and prove that our proposed statistic is uniformly most powerful unbiased. In addition, we illustrate the applicability of our proposed test to compare the performances of stock indices.
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تاریخ انتشار 2017