FINITE SAMPLE DISTRIBUTIONS OF RISK-RETURN RATIOS

Reza Habibi

Abstract


This paper approximates the finite sample distributions of risk-return ratios using bootstrapped Gram-Charlier expansion, in the case of independent returns case. Under GARCH modeling for returns, we approximate risk-return ratios by bootstrap and bootstrapped Gram-Charlier expansion. Hansen method is also applied and a chi-squared approximation is proposed. We also apply our results for S&P 500 data set. Finally, a conclusion section is given.


Keywords


Bootstrap; Chi-squared approximation; Gram-Charlier expansion; Finite sample distribution; GARCH time series; Risk-return ratio; S&P 500

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Journal of Business and Finance

ISSN: 2305-1825 (Online), 2308-7714 (Print)

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