Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Distribution and statistics of the Sharpe Ratio.
AR1, Compounding effect on Sharpe, Cramer Rao bound, G11 Sharpe ratio, JEL classification C12, Student distribution
Connecting Sharpe Ratio and Student T-Statistic, and Beyond.
AR1, Compounding effect on Sharpe, Cramer Rao bound, Sharpe ratio, Student distribution
Testing Sharpe Ratio: Luck or Skill?
Chi square test, Compounding effect on Sharpe, Sharpe ratio, Student distribution, T-test, Wald test
Connecting Sharpe ratio and Student t-statistic, and beyond.
AR1, Compounding effect on Sharpe, Cramer Rao bound, Sharpe ratio, Student distribution
Testing Sharpe ratio: luck or skill?
Chi square test, Compounding effect on Sharpe, Sharpe ratio, Student distribution, T-test, Wald test