Inference for the Sharpe Ratio Using a Likelihood-Based Approach

<table class="table-group" id="tab7"><tr><td><table class="table"><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr class="thead"><td align="left">  Method </td><td align="center"> 95% CI </td></tr><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr><td align="left">  MLE </td><td align="center"> (−0.9857, 0.6953) </td></tr><tr><td align="left">Likelihood ratio </td><td align="center"> (−0.9862, 0.6948) </td></tr><tr><td align="left">Proposed </td><td align="center"> (−0.9739, 0.7057) </td></tr><tr class="table-tr"><td colspan="2"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

95% Confidence intervals for Sharpe ratio difference.

Journal of Probability and Statistics

tab7

Table 7

Table 7: Inference for the Sharpe Ratio Using a Likelihood-Based Approach 