Jobson and Korkie (1981) test

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CFWFR
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Joined: Mon Aug 24, 2009 6:10 am

Jobson and Korkie (1981) test

Postby CFWFR » Mon Aug 24, 2009 7:31 am

I would like to compare the Sharpe and appraisal ratio of two different samples and check whether the difference is statistically significant. Does somebody have a manual / instruction how to implement the Jobson and Korkie (1981) test?

Thx in advance,
CFWFR
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