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testing equality of modified Sharpe ratios.pdf

上传者: 2020-10-02 08:34:11上传 PDF文件 362.02KB 热度 14次
The Sharpe ratio (Sharpe 1992) is one industry standard for measuring the absolute risk adjusted performance of hedge funds. This function performs the testing of Sharpe ratio difference for two funds using the approach by Ledoit and Wolf (2002).
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