Using empirical likelihood method to calculate the Sharpe ratio

Sharpe ratio is a very well known tool for comparing portfolios which defined as the ratio of expected excess return of a portfolio over the standard deviation of the return series. However, neither the expected return nor its standard deviation is observable. They are estimated by the sample average return and sample standard deviation,respectively. This paper uses the empirical likelihood method to calculate the Sharpe ratio that provides investors with a relatively robust method for estimating risk-adjusted performance.