A test of relative efficiency between two sets of securities

Pin-Huang Chou

Applied Financial Economics, 1997, vol. 7, issue 2, 192-195

Abstract: Based on a Markov chain Monte Carlo method, namely the Gibbs sampler, a simple approach is proposed to compare the potential performances between two sets of securities. The maximum attainable Sharpe measure is used to measure the potential performance of a set of securities. The procedure is easy to implement and does not require large samples.

Date: 1997
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DOI: 10.1080/096031097333754

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