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
相关论文
共 50 条
  • [41] A SAT encoding for the portfolio selection problem
    di Tollo, Giacomo
    Lardeux, Frederic
    Pesenti, Raffaele
    Petris, Matteo
    [J]. SOFT COMPUTING, 2023,
  • [42] The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection
    Levy, Moshe
    Roll, Richard
    [J]. JOURNAL OF INVESTING, 2023, 32 (02): : 7 - 23
  • [43] Portfolio selection based on a new constructed Sharpe index using high frequency data
    Wang, Yan
    Chen, Min
    Zhao, Zi-Long
    [J]. Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2015, 35 (01): : 17 - 25
  • [44] An extension of sharpe's single-index model:: portfolio selection with expert betas
    Bilbao, A.
    Arenas, M.
    Jimenez, M.
    Gladish, B. Perez
    Rodriguez, M. V.
    [J]. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2006, 57 (12) : 1442 - 1451
  • [45] A Robust Sharpe Ratio
    Mahesh, K. C.
    Laha, Arnab Kumar
    [J]. SANKHYA-SERIES B-APPLIED AND INTERDISCIPLINARY STATISTICS, 2021, 83 (02): : 444 - 465
  • [46] Nonparametric Sharpe Ratio
    Mukherjee D.
    Ullah A.
    [J]. Journal of Quantitative Economics, 2004, 2 (2) : 172 - 185
  • [47] Sharpe Timing Ratio
    Hung, Mao-Wei
    Jan, Yin-Ching
    [J]. JOURNAL OF INVESTING, 2005, 14 (04): : 75 - 79
  • [48] The implied Sharpe ratio
    Agarwal, Ankush
    Lorig, Matthew
    [J]. QUANTITATIVE FINANCE, 2020, 20 (06) : 1009 - 1026
  • [49] A Robust Sharpe Ratio
    Mahesh K.C
    Arnab Kumar Laha
    [J]. Sankhya B, 2021, 83 : 444 - 465
  • [50] A refinement to the Sharpe ratio and information ratio
    Craig Israelsen
    [J]. Journal of Asset Management, 2005, 5 (6) : 423 - 427
12345