Exercise 4.8 Suppose that over the last 5 years, the monthly returns of a portfolio generated an average return of 0.75% with a 2% volatility. Assuming that the returns are correctly modeled by a Gaussian distribution and that the annual risk-free rate is 2.5%, compute the 95% confidence intervals for each of the following performance measures:

(a) The Sharpe ratio.

(b) The Sortino ratio.

(c) The Omega ratio.

(d) ¯ G.