Comparing Sharpe ratios: So where are the p-values?

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

Mutual Fund Performance

William F. Sharpe · The Journal of Business · 1966 · 3.8K citations

Business, Finance, Financial Management +17

A class of distributions which includes the normal ones

Adelchi Azzalini · Research Padua Archive (University of Padua) · 1985 · 2.6K citations

Natural Sciences, Physiology, Probability Theory +2

The Sharpe Ratio

William F. Sharpe · The Journal of Portfolio Management · 1994 · 2.5K citations

Business, Finance, Financial Management +9

The positive false discovery rate: a Bayesian interpretation and the q-value

John D. Storey · The Annals of Statistics · 2003 · 2.3K citations · Full text

Natural Sciences, Biostatistics, Bayesian Biostatistics +15