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Direct local linear estimation for Sharpe ratio function

文献类型：期刊论文

作者Lin, Hongmei1,2; Tong, Tiejun3; Wang, Yuedong4; Xu, Wenchao5; Zhang, Riquan2,6
刊名CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
出版日期2021-09-01
页码23
ISSN号0319-5724
关键词Heteroscedasticity local likelihood estimation local linear regression nonparametric regression Sharpe ratio function
DOI10.1002/cjs.11658
英文摘要Nonparametric regression has been widely used to deal with nonlinearity and heteroscedasticity in financial time series. As the ratio of the mean and standard deviation functions, the Sharpe ratio function is one of the most commonly used risk/return measures in financial econometrics. Most existing methods take an indirect procedure, which first estimates the mean and variance functions and then applies these two functions to estimate the Sharpe ratio function. In practice, however, such an indirect procedure can often be less efficient. In this article, we propose a direct method to estimate the Sharpe ratio function by local linear regression. We further establish the asymptotic normality of the proposed estimator, apply Monte Carlo simulations to evaluate its finite sample performance, and compare it with the indirect method. The usefulness of our new method is also illustrated through a real data analysis.
资助项目National Natural Science Foundation of China[11971171] ; National Natural Science Foundation of China[11701360] ; National Natural Science Foundation of China[11971300] ; National Natural Science Foundation of China[11671338] ; Shanghai Natural Science Foundation[20ZR1421800] ; Shanghai Natural Science Foundation[19ZR1420900] ; Open Research Fund of Key Laboratory of Advanced Theory and Application in Statistics and Data Science (East China Normal University) ; National Science Foundation of the United States[DMS-1507620] ; China Postdoctoral Science Foundation[2021M693340] ; [HKBU12303918]
WOS研究方向Mathematics
语种英语
出版者WILEY
WOS记录号WOS:000691735100001
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/59211]  
专题中国科学院数学与系统科学研究院
通讯作者Xu, Wenchao
作者单位1.Shanghai Univ Int Business & Econ, Sch Stat & Informat, Shanghai, Peoples R China
2.East China Normal Univ, Minist Educ, Key Lab Adv Theory & Applicat Stat & Data Sci, Shanghai, Peoples R China
3.Hong Kong Baptist Univ, Dept Math, Hong Kong, Peoples R China
4.Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93106 USA
5.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
6.East China Normal Univ, Sch Stat, Shanghai, Peoples R China
推荐引用方式
GB/T 7714		 Lin, Hongmei,Tong, Tiejun,Wang, Yuedong,et al. Direct local linear estimation for Sharpe ratio function[J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,2021:23.
APA Lin, Hongmei,Tong, Tiejun,Wang, Yuedong,Xu, Wenchao,&Zhang, Riquan.(2021).Direct local linear estimation for Sharpe ratio function.CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,23.
MLA Lin, Hongmei,et al."Direct local linear estimation for Sharpe ratio function".CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE (2021):23.

入库方式： OAI收割

来源：数学与系统科学研究院

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