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Lopez de Prado, Marcos [Author] ; Lewis, Michael J. [Other]

Confidence and Power of the Sharpe Ratio under Multiple Testing

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  • Media type: E-Book
  • Title: Confidence and Power of the Sharpe Ratio under Multiple Testing
  • Contributor: Lopez de Prado, Marcos [Author]; Lewis, Michael J. [Other]
  • imprint: [S.l.]: SSRN, [2019]
  • Extent: 1 Online-Ressource (13 p)
  • Language: English
  • DOI: 10.2139/ssrn.3193697
  • Identifier:
  • Keywords: True positive ; false positive ; power ; significance ; recall ; multiple testing ; non-Normal returns ; clustering ; machine learning
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 23, 2019 erstellt
  • Description: Most papers in the financial literature estimate the p-value associated with an investment strategy, without reporting the power of the test used to make that discovery. In this paper we provide analytic estimates to Type I and Type II errors for the Sharpe ratios of investments, and derive their familywise counterparts. These estimates allow researchers to carefully design experiments with high confidence and power
  • Access State: Open Access