Data science and productivity analytics

DOI10.1007/978-3-030-43384-0MaRDI QIDQ2152672zbMATH OpenOpenAlexFDO

Authors

Publication date 10 July 2022

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.00937

Applications of statistics to economics (62P20) Statistical aspects of big data and data science (62R07) Artificial neural networks and deep learning (68T07) Management decision making, including multiple objectives (90B50) Statistical methods; economic indices and measures (91B82) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming (90-06)

Abstract: 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.

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