In this article, asymptotic confidence intervals (CIs) for the Sortino and Omega ratios are proposed and analyzed. First, the CIs are derived under the assumption of temporal independence and identical distribution of returns. Later they are obtained assuming that the returns process is strictly stationary and α-mixing of a certain size. In order to evaluate the minimum sample size for a good coverage accuracy of the asymptotic CIs, a simulation study is performed. It is obtained that the minimum sample sizes are very high, especially under the more realistic assumption of not-iid returns. © 2014 Taylor and Francis Group, LLC.

DE CAPITANI, L. (2014). Interval estimation for the sortino ratio and the omega ratio. COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION, 43(6), 1385-1429 [10.1080/03610918.2012.722808].

Interval estimation for the sortino ratio and the omega ratio

DE CAPITANI, LUCIO
2014

Abstract

In this article, asymptotic confidence intervals (CIs) for the Sortino and Omega ratios are proposed and analyzed. First, the CIs are derived under the assumption of temporal independence and identical distribution of returns. Later they are obtained assuming that the returns process is strictly stationary and α-mixing of a certain size. In order to evaluate the minimum sample size for a good coverage accuracy of the asymptotic CIs, a simulation study is performed. It is obtained that the minimum sample sizes are very high, especially under the more realistic assumption of not-iid returns. © 2014 Taylor and Francis Group, LLC.
Articolo in rivista - Articolo scientifico
Coverage probability; Dependent central limit theorem; Financial performance ratio; GARCH model; Strong mixing condition; Modeling and Simulation; Statistics and Probability
English
2014
43
6
1385
1429
none
DE CAPITANI, L. (2014). Interval estimation for the sortino ratio and the omega ratio. COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION, 43(6), 1385-1429 [10.1080/03610918.2012.722808].
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/75535
Citazioni
  • Scopus 5
  • ???jsp.display-item.citation.isi??? 3
Social impact