Research Article
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 |
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