文件名称:RobustSharpeTest
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Test whether the difference of two Sharpe ratios is statistically significant. No normality assumption needed, the bootstrap approach approximates the data-generating process.
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下载文件列表
RobustSharpeTest
................\.DS_Store
................\andmon6cvm2.m
................\ar2.m
................\bsstats11.m
................\cbb_seq.m
................\critvalues1.m
................\mlag.m
................\ols.m
................\optimalblrobustSharpe.m
................\quantileR.m
................\ReadMe.txt
................\retagg.csv
................\rethedge.csv
................\robustSharpe.m
................\sbbseq.m
................\trimr.m
................\vare2.m
................\.DS_Store
................\andmon6cvm2.m
................\ar2.m
................\bsstats11.m
................\cbb_seq.m
................\critvalues1.m
................\mlag.m
................\ols.m
................\optimalblrobustSharpe.m
................\quantileR.m
................\ReadMe.txt
................\retagg.csv
................\rethedge.csv
................\robustSharpe.m
................\sbbseq.m
................\trimr.m
................\vare2.m