Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns

<table class="table-group" id="tab2"><tr><td><table class="table"><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr class="thead"><td class="align_left">Method</td><td class="align_center">95% confidence interval</td></tr><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr><td class="align_left">Wald</td><td class="align_center">(−13.3134, −1.6099)</td></tr><tr><td class="align_left">Signed log-likelihood ratio</td><td class="align_center">(−12.4562, −1.9002)</td></tr><tr><td class="align_left">Proposed</td><td class="align_center">(−13.0647, −1.4752)</td></tr><tr class="table-tr"><td colspan="2"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>95% confidence intervals for the difference of the KS Sharpe ratios.</div>

Journal of Probability and Statistics

tab2

Table 2

Table 2: Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns 