Research on the sharpe ratio of portfolio selection problem

被引：0
|
作者：
Wu Zhuwu [1 ]
Xu Yingying [1 ]
机构：
[1] China Univ Min & Technol, Sch Sci, Xuzhou 221116, Peoples R China
来源：
PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON RISK AND RELIABILITY MANAGEMENT, VOLS I AND II | 2008年
关键词：
portfolio selection; efficient frontier; sharpe ratio;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, some properties of the maximum Sharpe ratio are discussed when short sale is allowed or not. Furthermore, a numerical example is given to obtain the Sharpe ratio.
引用
收藏
页码：142 / 144
页数：3
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