Type I and Type II Errors of the Sharpe Ratio under Multiple Testing

Marcos López de Prado

doi:10.3905/jpm.2022.1.403

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Type I and Type II Errors of the Sharpe Ratio under Multiple Testing

Marcos López de Prado

The Journal of Portfolio Management November 2022, jpm.2022.1.403; DOI: https://doi.org/10.3905/jpm.2022.1.403

Marcos López de Prado

is global head of quantitative research and development at Abu Dhabi Investment Authority in Abu Dhabi, United Arab Emirates, and a professor of practice at Cornell University in Ithaca, NY

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The Journal of Portfolio Management

Vol. 49, Issue 3

February 2023

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Type I and Type II Errors of the Sharpe Ratio under Multiple Testing