Jobson and Korkie (1981) test
Posted: 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
Thx in advance,
CFWFR