Resampling technique for estimating standard errors and computing confidence intervals of sample based quantities.

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3
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1answer
134 views

How do i test the significance of Sharpe ratio of a strategy using bootstrap

How do i test the significance of Sharpe ratio of a strategy whether it is any different from another strategy ?? How do i get a p-value out of it ? What should be the H0 in the hypothesis testing ? ...
2
votes
1answer
92 views

out-of-sample variance using rolling window

I am currently working on the comparison of the constructed portfolios using out-of-sample variance criteria. I am going to use rolling window procedure for the comparison. First, I choose a window ...
2
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2answers
250 views

Block Bootstrapping Relative Returns

I want to run a block bootstrap on the relative returns, but I'm not sure if subtracting the mean is important. A bootstrap sequence is a synthetic sequence generated using the original sequence. If ...
2
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0answers
100 views

State Space models with Short Time Series

My problem is that I have a state space model that I estimate using the Berndt–Hall–Hall–Hausman (BHHH) algorithm. The state space model is relatively simple in that the hidden part follows a pure ...
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vote
1answer
31 views

bootstrap asset allocation

I want to ask if the bootstrap method for asset allocation is preferable. For instance, suppose that we have data for the past returns for two stocks. Is it wise to generate the efficient frontierby ...