QUESTION: How should I analyze the statistical significance of the difference between two buy-and-hold strategies (or the relative performance) when the samples are not independent? Background: I ...
I've fitted my data to a generalized pareto distribution as to model the returns in the tails more accurately. The interior is fitted with kernel distributions. I would like to now test whether the ...
I'm trying to determine which of my portfolio simulations/backtests if any are good enough to put some money into. I outline an approach below and I'm interested in knowing: What problems are there ...
For my thesis I am evaluating two mutual fund portfolios in order to check for differences in manager performance. My hypothesis is that there will be no differences in performance (in terms of alpha) ...
I was reading an article recently that pointed out the dangers of using statistical inference in evaluating active managers as the power of statistical tests diminishes with the variance of the ...
I have three different option pricing models, for which I computed the in-sample and out-of-sample pricing errors. Now I want to test the pricing performance of these three option pricing models ...