The large-sample distribution of the maximum Sharpe ratio with and without short sales

DOI10.1016/j.jeconom.2016.04.003zbMath1431.62481OpenAlexW2360975225MaRDI QIDQ2630355

Steven Roberts, Ross A. Maller, Rabee Tourky

Publication date: 27 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.003

zbMATH Keywords

asymptotic distributionasymptotic normalityoptimal portfolioshort salesmaximum Sharpe ratio

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (3)

Comparing large-sample maximum Sharpe ratios and incremental variable testing ⋮ Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models ⋮ Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming

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• Optimal Financial Portfolios

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