Lucio De Capitani

Learn More
Interval estimation for the Sharpe Ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations Abstract In this paper, assuming that returns follows a stationary and ergodic stochas-tic process, the asymptotic distribution of the natural estimator of the Sharpe Ratio is explicitly given. This distribution is(More)
Several reproducibility probability (RP)-estimators for the binomial, sign, Wilcoxon signed rank and Kendall tests are studied. Their behavior in terms of MSE is investigated, as well as their performances for RP-testing. Two classes of estimators are considered: the semi-parametric one, where RP-estimators are derived from the expression of the exact or(More)
In this paper asymptotic confidence intervals for the Sortino and Omega Ratio are proposed and analyzed. First the confidence intervals are derived under the strong assumption of temporal independence and identical distribution of the returns. Later they are obtained assuming that the process followed by returns is strictly stationary and α-mixing of a(More)
  • 1