摘要
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.
| 原文 | ???core.languages.en_GB??? |
|---|---|
| 頁（從 - 到） | 192-195 |
| 頁數 | 4 |
| 期刊 | Applied Financial Economics |
| 卷 | 7 |
| 發行號 | 2 |
| DOIs | |
| 出版狀態 | 已出版 - 1997 |