%0 Journal Article %1 bao2006moments %A Bao, Yong %A Ullah, Aman %D 2006 %J Finance Research Letters %K quantfinance sharpe statistics %N 1 %R 10.1016/j.frl.2005.11.001 %T Moments of the Estimated Sharpe Ratio When the Observations Are Not IID %U https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2738158# %V 3 %X We develop the analytical second-order bias and variance of the estimated Sharpe ratio when the return series is not IID. We show that the bias and variance formulae depend upon the covariance structure of the data generating process.

@article{bao2006moments, abstract = {We develop the analytical second-order bias and variance of the estimated Sharpe ratio when the return series is not IID. We show that the bias and variance formulae depend upon the covariance structure of the data generating process.}, added-at = {2018-05-23T05:35:14.000+0200}, author = {Bao, Yong and Ullah, Aman}, biburl = {https://www.bibsonomy.org/bibtex/2cb3b38d05dfbc32673a984d76faf94d2/shabbychef}, description = {Moments of the Estimated Sharpe Ratio When the Observations Are Not IID by Yong Bao, Aman Ullah :: SSRN}, doi = {10.1016/j.frl.2005.11.001}, interhash = {fc15588076304f73b0f41a5c6339d62a}, intrahash = {cb3b38d05dfbc32673a984d76faf94d2}, journal = {Finance Research Letters}, keywords = {quantfinance sharpe statistics}, language = {English}, location = {https://ssrn.com/paper=2738158}, number = 1, timestamp = {2018-05-23T05:35:14.000+0200}, title = {Moments of the Estimated {S}harpe Ratio When the Observations Are Not {IID}}, type = {Accepted Paper Series}, url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2738158#}, volume = 3, year = 2006 }