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.
|頁（從 - 到）||192-195|
|期刊||Applied Financial Economics|
|出版狀態||已出版 - 1997|