Inference on Achieved Signal Noise Ratio

05/13/2020

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by   Steven E. Pav, et al.

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We describe a procedure to perform approximate inference on the achieved signal-noise ratio of the Markowitz Portfolio under Gaussian i.i.d. returns. The procedure relies on a statistic similar to the Sharpe Ratio Information Criterion. Testing indicates the procedure is somewhat conservative, but otherwise works well for reasonable values of sample and asset universe sizes.