Costin Protopopescu

We don’t have enough information about this author to calculate their statistics. If you think this is an error let us know.
Learn More
We propose an estimator for the α fractional derivative of a distribution function. Our estimator, based on finite differences of the empirical df generalizes the estimator proposed by Maltz (1974) for the nonnegative real case. The asymptotic bias, variance and the consistency of the estimator are studied. Finally, the optimal choice for the ”smoothing(More)
Performance measures such as the Sharpe ratio and the information ratio are estimation subject to estimation error. Lo (2002) derives the explicit expressions for the statistical distribution of the Sharpe ratio. Bertrand and Protopopescu (2007) have extended his work to the bivariate case which corresponds to the Information ratio. In the present paper, we(More)
  • 1