A test of relative efficiency between two sets of securities

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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 languageEnglish
Pages (from-to)192-195
Number of pages4
JournalApplied Financial Economics
Issue number2
StatePublished - 1997


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