Inference for performance measures for financial assets

Lucio Capitani () and Leo Pasquazzi ()

METRON, 2015, vol. 73, issue 1, 73-98

Abstract: In this work the precision of point and interval estimators for some performance measures for risky financial assets is analyzed and the conditions under which the point estimators are asymptotically normally distributed are provided. The findings of this research suggest that a huge number of observations is needed to get reasonably precise point and interval estimates. Therefore, the considered performance measures may be surely employed as descriptive statistics for ex-post performance comparisons but they should be employed with caution in ex-ante evaluations for investment choices. Copyright Sapienza Università di Roma 2015

Keywords: Central limit theorem for dependent data; Coverage accuracy; Mixing condition; Financial performance ratio (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s40300-014-0055-y

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