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

Table 4

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

Setting	Method	CP	LE	UE
,	Wald	0.9416	0.0248	0.0336
	Signed log-likelihood ratio	0.9325	0.0244	0.0431
	Proposed	0.9498	0.0238	0.0264
,	Wald	0.9394	0.0296	0.0310
	Signed log-likelihood ratio	0.9343	0.0322	0.0335
	Proposed	0.9501	0.0255	0.0244
,	Wald	0.9366	0.0345	0.0289
	Signed log-likelihood ratio	0.9318	0.0376	0.0306
	Proposed	0.9452	0.0282	0.0266