A new method for estimating Sharpe ratio function via local maximum likelihood | |
Xu, Wenchao1; Lin, Hongmei2; Tong, Tiejun3; Zhang, Riquan2,4,5 | |
刊名 | JOURNAL OF APPLIED STATISTICS |
2022-08-30 | |
页码 | 19 |
关键词 | Direct method heteroscedastic non-parametric regression joint limiting distribution local polynomial smoothing Sharpe ratio function |
ISSN号 | 0266-4763 |
DOI | 10.1080/02664763.2022.2114431 |
英文摘要 | The Sharpe ratio function is a commonly used risk/return measure in financial econometrics. To estimate this function, most existing methods take a two-step procedure that first estimates the mean and volatility functions separately and then applies the plug-in method. In this paper, we propose a direct method via local maximum likelihood to simultaneously estimate the Sharpe ratio function and the negative log-volatility function as well as their derivatives. We establish the joint limiting distribution of the proposed estimators, and moreover extend the proposed method to estimate the multivariate Sharpe ratio function. We also evaluate the numerical performance of the proposed estimators through simulation studies, and compare them with existing methods. Finally, we apply the proposed method to the three-month US Treasury bill data and that captures a well-known covariate-dependent effect on the Sharpe ratio. |
资助项目 | China Postdoctoral Science Foundation[2021M693340] ; National Natural Science Foundation of China[1207010822] ; Shanghai Natural Science Foundation[20ZR1421800] ; General Research Fund[HKBU12303421] ; General Research Fund[HKBU12303918] ; Initiation Grant for Faculty Niche Research Areas of Hong Kong Baptist University[RC-FNRA-IG/20-21/SCI/03] ; National Science Foundation of China[1207010822] ; National Science Foundation of China[11971171] ; National Science Foundation of China[11831008] ; Basic Research Project of Shanghai Science and Technology Commission[22JC1400800] |
WOS研究方向 | Mathematics |
语种 | 英语 |
出版者 | TAYLOR & FRANCIS LTD |
WOS记录号 | WOS:000865661200001 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/60850] |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Lin, Hongmei |
作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Shanghai Univ Int Business & Econ, Sch Stat & Informat, Shanghai, Peoples R China 3.Hong Kong Baptist Univ, Dept Math, Hong Kong, Peoples R China 4.East China Normal Univ, MOE, Key Lab Adv Theory & Applicat Stat & Data Sci, Shanghai, Peoples R China 5.East China Normal Univ, Sch Stat, Shanghai, Peoples R China |
推荐引用方式 GB/T 7714 | Xu, Wenchao,Lin, Hongmei,Tong, Tiejun,et al. A new method for estimating Sharpe ratio function via local maximum likelihood[J]. JOURNAL OF APPLIED STATISTICS,2022:19. |
APA | Xu, Wenchao,Lin, Hongmei,Tong, Tiejun,&Zhang, Riquan.(2022).A new method for estimating Sharpe ratio function via local maximum likelihood.JOURNAL OF APPLIED STATISTICS,19. |
MLA | Xu, Wenchao,et al."A new method for estimating Sharpe ratio function via local maximum likelihood".JOURNAL OF APPLIED STATISTICS (2022):19. |
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