| Autor: |
Monge, Juan F., Landete, Mercedes, Ruiz, José L. |
| Rok vydání: |
2016 |
| Předmět: |
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| Zdroj: |
Data Science and Productivity Analytics. International Series in Operations Research & Management Science, 2020 |
| Druh dokumentu: |
Working Paper |
| DOI: |
10.1007/978-3-030-43384-0 |
| Popis: |
The Sharpe ratio is a way to compare the excess returns (over the risk free asset) of portfolios for each unit of volatility that is generated by a portfolio. In this paper we introduce a robust Sharpe ratio portfolio under the assumption that the risk free asset is unknown. We propose a robust portfolio that maximizes the Sharpe ratio when the risk free asset is unknown, but is within a given interval. To compute the best Sharpe ratio portfolio all the Sharpe ratios for any risk free asset are considered and compared by using the so-called cross-efficiency evaluation. An explicit expression of the Cross-Eficiency Sharpe ratio portfolio is presented when short selling is allowed. |
| Databáze: |
arXiv |
| Externí odkaz: |
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