Inference for the Sharpe Ratio Using a Likelihood-Based Approach

Table 6

Results for simulation study for market for 𝑛=12.

CI	Method	Lower error	Upper error	Central coverage
	Jobson and Korkie	0.0622	0.0518	0.8860
	Mertens	0.0930	0.0514	0.8556
90%	Likelihood ratio	0.0821	0.0513	0.8666
	Proposed	0.0528	0.0514	0.8958
	Nominal	0.0500	0.0500	0.9000
	Standard error	0.0022	0.0022	0.0030
	Jobson and Korkie	0.0320	0.0290	0.9390
	Mertens	0.0500	0.0284	0.9216
95%	Likelihood ratio	0.0407	0.0303	0.9290
	Proposed	0.0280	0.0275	0.9445
	Nominal	0.0250	0.0250	0.9500
	Standard error	0.0016	0.0016	0.0022
	Jobson and Korkie	0.0053	0.0061	0.9886
	Mertens	0.0245	0.0073	0.9682
99%	Likelihood ratio	0.0100	0.0069	0.9831
	Proposed	0.0046	0.0053	0.9901
	Nominal	0.0050	0.0050	0.9900
	Standard error	0.0007	0.0007	0.0010