Inference for the Sharpe Ratio Using a Likelihood-Based Approach

Table 5

Results for simulation study for fund for 𝑛=12.

CI	Method	Lower error	Upper error	Central coverage
	Jobson and Korkie	0.0586	0.0521	0.8893
	Mertens	0.0778	0.0507	0.9715
90%	Likelihood ratio	0.0712	0.0529	0.8759
	Proposed	0.0512	0.0502	0.8986
	Nominal	0.0500	0.0500	0.9000
	Standard error	0.0022	0.0022	0.0030
	Jobson and Korkie	0.0319	0.0267	0.9414
	Mertens	0.0514	0.0278	0.9208
95%	Likelihood ratio	0.0416	0.0285	0.9299
	Proposed	0.0279	0.0251	0.9470
	Nominal	0.0250	0.0250	0.9500
	Standard error	0.0016	0.0016	0.0022
	Jobson and Korkie	0.0059	0.0065	0.9876
	Mertens	0.0208	0.0072	0.9720
99%	Likelihood ratio	0.0098	0.0072	0.9830
	Proposed	0.0048	0.0052	0.9900
	Nominal	0.0050	0.0050	0.9900
	Standard error	0.0007	0.0007	0.0010