@string{j-APPL-STAT = "Journal of Applied Statistics"}

@Manual{madness-Manual,
	title = {{madness}: Automatic Differentiation of Multivariate Operations},
	author = {Steven E. Pav},
	year = {2016},
	note = {R package version 0.2.0},
	url = {https://github.com/shabbychef/madness},
}
% AD
@book{rall1981automatic,
  title={Automatic Differentiation: Techniques and Applications},
  author={Rall, L. B.},
  isbn={9783540108610},
  lccn={81014439},
  series={Lecture Notes in Computer Science},
  url={http://books.google.com/books?id=5QxRAAAAMAAJ},
  year={1981},
  publisher={Springer}
}

@book{griewank2008evaluating,
  title={Evaluating Derivatives: Principles and Techniques of Algorithmic Differentiation, Second Edition},
  author={Griewank, A. and Walther, A.},
  isbn={9780898717761},
  series={SIAM e-books},
  url={https://books.google.com/books?id=xoiiLaRxcbEC},
  year={2008},
  publisher={Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104)}
}
@book{magnus1999matrix,
  title={Matrix Differential Calculus with Applications in Statistics and Econometrics},
  author={Magnus, Jan R. and Neudecker, H.},
  isbn={9780471986331},
  lccn={98053556},
  series={Wiley Series in Probability and Statistics: Texts and References Section},
  url1={http://books.google.com/books?id=0CXXdKKiIpQC},
	url2={http://t.co/aAzc1zc6Ut},
	url3={http://www.janmagnus.nl/misc/mdc2007-3rdedition},
	edition={3rd},
  year={2007},
  publisher={Wiley}
}
@article{Johnson:1940,
	abstract = {{10.1093/biomet/31.3-4.362}},
	author = {Johnson, N. L. and Welch, B. L.},
	citeulike-article-id = {6959478},
	citeulike-linkout-0 = {http://dx.doi.org/10.1093/biomet/31.3-4.362},
	citeulike-linkout-1 = {http://biomet.oxfordjournals.org/cgi/content/abstract/31/3-4/362},
	day = {1},
	doi = {10.1093/biomet/31.3-4.362},
	journal = {Biometrika},
	month = "mar",
	number = {3-4},
	pages = {362--389},
	posted-at = {2010-04-06 05:44:07},
	priority = {2},
	title = {Applications of the non-central t-distribution},
	url = {http://dx.doi.org/10.1093/biomet/31.3-4.362},
	volume = {31},
	year = {1940}
}

@article{jobsonkorkie1981,
     jstor_articletype = {research-article},
     title = {Performance Hypothesis Testing with the {S}harpe and {T}reynor Measures},
     author = {Jobson, J. D. and Korkie, Bob M.},
     journal = {The Journal of Finance},
     jstor_issuetitle = {},
     volume = {36},
     number = {4},
     jstor_formatteddate = {Sep., 1981},
     pages = {pp. 889-908},
     url = {http://www.jstor.org/stable/2327554},
     ISSN = {00221082},
     abstract = {Asymptotic distributions of the estimators of the Sharpe and Treynor performance measures are derived. Multivariate performance comparison measures, based on the traditional Sharpe and Treynor measures, are developed with their corresponding asymptotic distributions. The behavior of these new performance measures are evaluated in small samples. For single comparisons, a Sharpe z statistic is well behaved and for multiple comparisons a Sharpe chi-square statistic is reasonably well behaved. The powers of the tests are quite sensitive to the population coefficients of variation. Multivariate test statistics based upon the Treynor measure were not very satisfactory.},
     language = {English},
     year = {1981},
     publisher = {Wiley for the American Finance Association},
     copyright = {Copyright © 1981 American Finance Association},
}

@article{lo2002,
	type={Accepted Paper Series},
	title={The Statistics of {S}harpe Ratios},
	author={Lo, Andrew W.},
	keywords={Performance Measurement and Evaluation, Performance Measurement},
	location={http://ssrn.com/paper=377260},
	journal = {Financial Analysts Journal},
	volume = 58,
	number = 4,
	month = {July/August},
	year = "2002",
	url={http://ssrn.com/paper=377260},
	language={English}
}
@article{Leung2008,
	title = {On testing the equality of multiple {S}harpe ratios, with application on the evaluation of {iShares}},
	author = {Leung, Pui-Lam and Wong, Wing-Keung},
	journal = {Journal of Risk},
	volume = 10,
	number = 3,
	year = 2008,
	pages = {15--30},
	url3 = {http://www.risk.net/digital_assets/4760/v10n3a2.pdf},
	url2 = {http://ied.hkbu.edu.hk/publications/fdp/FDP200803.pdf},
	url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=907270}
}

@TechReport{Wright2012,
	title = {A note on a test for the equality of multiple {S}harpe ratios and its application on the evaluation of {iShares}},
	author = {Wright, John Alexander and Yam, Sheung Chi Phillip and Yung, Siu Pang},
	journal = {Journal of Risk},
	note = "to appear",
	year = 2012,
	url = {http://www.sta.cuhk.edu.hk/scpy/Preprints/John%20Wright/A%20test%20for%20the%20equality%20of%20multiple%20Sharpe%20ratios.pdf}
}

@article{wright2014,
  added-at = {2016-01-08T06:31:11.000+0100},
  author = {Wright, John Alexander and Yam, Sheung Chi Phillip and Yung, Siu Pang},
  biburl = {http://www.bibsonomy.org/bibtex/251fb58ab4355a8cbcccc5a82b681b55f/shabbychef},
  description = {Risk.net - A test for the equality of multiple Sharpe ratios},
  interhash = {b26ad3037d97e4d2fc2bf8dcc59a8e5c},
  intrahash = {51fb58ab4355a8cbcccc5a82b681b55f},
  journal = {Journal of Risk},
  keywords = {quantfinance sharpe statistics},
  number = 4,
  timestamp = {2016-01-08T06:32:14.000+0100},
  title = {A test for the equality of multiple {S}harpe ratios},
  url = {https://hub.hku.hk/bitstream/10722/202985/1/content.pdf},
  volume = 16,
  year = 2014
}
@Article{White:2000,
	author = {Halbert White},
	title = {A Reality Check For Data Snooping},
	journal = {Econometrica},
	volume = 68,
	pages = {1097--1127},
	url = {https://www.ssc.wisc.edu/~bhansen/718/White2000.pdf},
	year = {2000}
}
@article{Hsu2010471,
	title = "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias",
	journal = "Journal of Empirical Finance",
	volume = "17",
	number = "3",
	pages = "471 - 484",
	year = "2010",
	note = "",
	issn = "0927-5398",
	doi = "10.1016/j.jempfin.2010.01.001",
	ClosedURL = "http://www.sciencedirect.com/science/article/pii/S0927539810000022",
	url = {http://ssrn.com/abstract=1087044},
	author = "Po-Hsuan Hsu and Yu-Chin Hsu and Chung-Ming Kuan",
	keywords = "Data snooping",
	keywords = "Exchange traded funds",
	keywords = "Reality check",
	keywords = "SPA test",
	keywords = "Stepwise test",
	keywords = "Technical trading rules"
}
@Article{Hansen:2005,
	author = {P. R. Hansen},
	title  = {A Test for Superior Predictive Ability},
	journal = {Journal of Business and Economic Statistics},
	volume = {23},
	number = {4},
	url = {https://www.tandfonline.com/doi/abs/10.1198/073500105000000063},
	doi = {10.1198/073500105000000063},
	year   = {2005}
}
@article{Ross_APT_1976,
	author={Ross, Stephen A.},
	title={The arbitrage theory of capital asset pricing},
	volume={13},
	url={https://linkinghub.elsevier.com/retrieve/pii/0022053176900466},
	number={3},
	journal={Journal of Economic Theory}, 
	year={1976},
	pages={341--360}
}
@misc{pav2013markowitz,
  author={Pav, Steven E.},
  title={Asymptotic Distribution of the {Markowitz} Portfolio},
	url = {https://arxiv.org/abs/1312.0557},
	howpublished = {Privately Published},
  year={2013}
}
@Article{BrittenJones1999,
	author={Britten-Jones, Mark},
	title={The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights},
	journal={The Journal of Finance},
	year=1999,
	volume={54},
	number={2},
	pages={655--671},
	url={http://www.jstor.org/stable/2697722},
	sep_note = {spanning-like test? also at ftp://economia.unica.it/mattana/Modelli_Mercati_Finanziari/Slides/Lecture_6/britton-jones.pdf}
}


@Manual{tada_package,
  title = {tada: templated automatic differentiation},
  author = {Chidambaram Annamalai},
  year = {2010},
  url = {https://github.com/quantumelixir/tada}
}
@Manual{radx_package,
  title = {radx: Automatic Differentation in {R}},
  author = {Chidambaram Annamalai},
  year = {2010},
  note = {R package version 0.1},
  url = {https://github.com/quantumelixir/radx}
}
@Manual{Quandl,
  title = {Quandl: API Wrapper for Quandl.com},
  author = {{Raymond McTaggart} and {Gergely Daroczi} and {Clement Leung}},
  year = {2015},
  note = {R package version 2.7.0},
  url = {https://CRAN.R-project.org/package=Quandl}
}
@Manual{madnessmadness-Manual,
  title = {{madness}: Automatic Differentiation of Multivariate Operations},
  author = {Steven E. Pav},
  year = {2018},
  note = {R package version 0.2.5},
  url = {https://CRAN.R-project.org/package=madness}
}
@article{Fama_French_1992,
	author={Fama, Eugene F. and French, Kenneth R.},
	title={The Cross-Section of Expected Stock Returns},
	volume={47},
	doi={10.1111/j.1540-6261.1992.tb04398.x},
	url={http://www.jstor.org/stable/2329112},
	number={2},
	journal={Journal of Finance},
	publisher={JSTOR},
	year={1992},
	pages={427}
}

%for vim modeline: (do not edit)
% vim:ts=2:sw=2:tw=79:fdm=marker:fmr=FOLDUP,UNFOLD:cms=%%s:syn=bib:ft=bib:ai:si:cin:nu:fo=croql:cino=p0t0c5(0:
