Applied researchers often test for the difference of the Sharpe ratios of two investment
strategies. A very popular tool to this end is the test of Jobson and Korkie [Jobson, JD and …

A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

Successful investment strategies are specific implementations of general theories. An
investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset …

The Sharpe ratio is adequate for evaluating investment funds when the returns of those
funds are normally distributed and the investor intends to place all his risky assets into just …

The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …

From a database that is relatively free of bias, this article provides measures of the returns of
hedge funds and of the distinctly nonnormal characteristics of the data. The results include …

We investigate the claim that hedge funds offer investors a superior risk-return tradeoff. We
do so using a continuous-time version of Dybvig's (1988a),(1988b) payoff distribution pricing …

We evaluate the probability that an estimated Sharpe ratio exceeds a given threshold in
presence of non-Normal returns. We show that this new uncertainty-adjusted investment skill …

We conduct an analysis of the risk and return characteristics of a number of widely used
fixed-income arbitrage strategies. We find that the strategies requiring more “intellectual …

This paper presents a theoretically sound portfolio performance measure that takes into
account higher moments of distribution. This measure is motivated by a study of the …