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These tables also show whether the null hypothesis of the Opdyke test of equal Sharpe ratios for the strategy and the benchmark is rejected, together with the size of the rejection and the acceptances of the Jarque and Bera test of normal distribution in (hbox {R}_{t+h}^{Portf} ) returns for the prediction period 2000 2010.
u is the expectation of normal distribution, and σ2 is the variance of the normal distribution.
All samples were subject to the principle of normal distribution.
Additional file 1: Sensitivity analysis for the number of iterations and acceptance percentage using Normal distribution with mean = 50 and SD = 17.
The assumption of a normal distribution of fluctuations may not be a good one.
cdf of standard normal distribution.
pdf of standard normal distribution.
It greatly increases the usefulness of the normal distribution.
where z1−α/2 is the 1−α/2 quantile of standard normal distribution.
First, data was tested for normal distribution.
Data were tested for normal distribution.
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