Abstract
Based on a Markov chain Monte Carlo method, namely the Gibbs sampler, a simple approach is proposed to compare the potential performances between two sets of securities. The maximum attainable Sharpe measure is used to measure the potential performance of a set of securities. The procedure is easy to implement and does not require large samples.
| Original language | English |
|---|---|
| Pages (from-to) | 192-195 |
| Number of pages | 4 |
| Journal | Applied Financial Economics |
| Volume | 7 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1997 |