Compares post-selection estimators for the maximum observed Sharpe ratio using simulations and finds James-Stein shrinkage yields lowest bias and RMSE across tested parameters.
Johnstone and Bernard W
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PM 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Post Selection Estimation of Sharpe Ratios
Compares post-selection estimators for the maximum observed Sharpe ratio using simulations and finds James-Stein shrinkage yields lowest bias and RMSE across tested parameters.