Direct local linear estimation for Sharpe ratio function

doi:10.1002/cjs.11658

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	Direct local linear estimation for Sharpe ratio function
	Lin, Hongmei 1,2; Tong, Tiejun 3; Wang, Yuedong 4; Xu, Wenchao 5; Zhang, Riquan 2,6
	2021-09-01
发表期刊	CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
ISSN	0319-5724
页码	23
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.
关键词	Heteroscedasticity local likelihood estimation local linear regression nonparametric regression Sharpe ratio function
DOI	10.1002/cjs.11658
收录类别	SCI
语种	英语
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
WOS类目	Statistics & Probability
WOS记录号	WOS:000691735100001
出版者	WILEY
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59212
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.