Lucio De Capitani

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In this paper, assuming that returns follows a stationary and ergodic stochastic process, the asymptotic distribution of the natural estimator of the Sharpe Ratio is explicitly given. This distribution is used in order to define an approximated confidence interval for the Sharpe ratio. Particular attention is devoted to the case of the GARCH(1,1) process.(More)
Finite mixtures of probability distributions may be successfully used in the modeling of probability distributions of incomes. These distributions are typically heavy tailed and positively skewed. This article deals with the problem of determining the number of components in mixture modeling. This paper considers the likelihood of ratio-based testing of the(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)
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)
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