Inference for the Sharpe Ratio Using a Likelihood-Based Approach

Table 2

95% Confidence Intervals for the sharpe Ratio.

Method	95% CI for SR (Fund)	95% CI for SR (Market)
Jobson and Korkie	(−0.2238, 0.9441)	(−0.1009, 1.0992)
Mertens	(−0.2838, 1.0042)	(−0.0644, 1.0626)
Likelihood Ratio	(−0.2087, 0.9624)	(−0.0800, 1.1261)
Proposed	(−0.2319, 0.9383)	(−0.1122, 1.0924)