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

Table 5

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

Setting	Method	CP	LE	UE
,	Wald	0.9429	0.0350	0.0221
	Signed log-likelihood ratio	0.9383	0.0363	0.0254
	Proposed	0.9511	0.0258	0.0231
,	Wald	0.9402	0.0376	0.0222
	Signed log-likelihood ratio	0.9357	0.0427	0.0216
	Proposed	0.9488	0.0265	0.0247
,	Wald	0.9432	0.0366	0.0202
	Signed log-likelihood ratio	0.9387	0.0413	0.0200
	Proposed	0.9488	0.0243	0.0269