Type I and Type II Errors of the Sharpe Ratio under Multiple Testing
给出了投资夏普比率的第一类和第二类错误的解析估计，并推导了族系错误率，帮助研究者设计高置信度和高检验力的实验，用于筛选投资策略。
Articles in financial literature typically estimate the <i>p</i>-value associated with an investment strategy’s performance without reporting the power of the test used to make that discovery. In this article, the author provides analytic estimates to Type I and Type II errors for the Sharpe ratios of investments and derives their familywise counterparts. These estimates allow researchers to carefully design experiments and select investments with high confidence and power.