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

Table 3

Simulation results for two sample Sharpe ratios comparison under IID lognormal returns for , , and

Setting	Method	CP	LE	UE
,	Wald	0.9368	0.0179	0.0453
	Signed log-likelihood ratio	0.9115	0.0165	0.0720
	Proposed	0.9495	0.0226	0.0279
,	Wald	0.9337	0.0191	0.0472
	Signed log-likelihood ratio	0.9191	0.0203	0.0606
	Proposed	0.9488	0.0217	0.0295
,	Wald	0.9267	0.0281	0.0452
	Signed log-likelihood ratio	0.9191	0.0286	0.0523
	Proposed	0.9416	0.0304	0.0280