New light on the portfolio allocation problem

DOI10.1007/S001860200211MaRDI QIDQ1812298zbMATH OpenOpenAlexFDO

Authors Ross A. Maller, Darrell A. Turkington

Publication date 23 June 2003

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860200211

zbMATH Keywords

efficient frontierMarkowitz mean-variance optimizationSharpe ratio

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Review text

This paper defines the Sharpe ratio of an asset portfolio as its expected return divided by its standard deviation. The paper studies the maximization of this functional, restricted only by the ``full investment constraint; short sales are allowed. It solves the optimization problem explicitly and shows that there are two solutions, depending on a sign condition. One solution is the one usually presented in textbooks. The other cannot be achieved exactly for a specified portfolio allocation but can be approached as closely as desired.

Recommendations

• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• Optimal Financial Portfolios
• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
• Portfolio Theory for Independent Assets

Cited in

(49)

• Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling
• An algebraic theory of portfolio allocation
• Symmetry and order in the portfolio allocation problem
• Comparing large-sample maximum Sharpe ratios and incremental variable testing
• Wright meets Markowitz: how standard portfolio theory changes when assets are technologies following experience curves
• Expected return -- expected loss approach to optimal portfolio investment
• Portfolio optimization by a bivariate functional of the mean and variance
• Portfolio leverage in asset allocation problems
• How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• The cost of achieving the best portfolio in hindsight
• William F. Sharpe -- selected works. Edited by William F. Sharpe
• A mixed sharpe ratio
• Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio
• Portfolio Theory for Independent Assets
• Risky asset pricing based on safety first fund management
• Efficient portfolio for interval Sharpe ratio model
• SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
• The econometrics of mean‐variance efficiency tests: a survey
• A new approach to portfolio theory
• scientific article; zbMATH DE number 1506039 (Why is no real title available?)
• scientific article; zbMATH DE number 1552041 (Why is no real title available?)
• A theoretical investigation of randomized asset allocation strategies
• Maximally acceptable portfolios
• A case-study of optimal portfolio composition with investments limits
• scientific article; zbMATH DE number 2135670 (Why is no real title available?)
• scientific article; zbMATH DE number 2087703 (Why is no real title available?)
• High dimensional mean-variance optimization through factor analysis
• scientific article; zbMATH DE number 2123496 (Why is no real title available?)
• scientific article; zbMATH DE number 870104 (Why is no real title available?)
• Mean--variance efficient portfolios with many assets: 50\% short
• Macroscopic relationship in primal-dual portfolio optimization problem
• Technical note: Options portfolio selection
• The implied Sharpe ratio
• Portfolio optimization with performance ratios
• Research on the running track and force analysis of portfolio
• The portfolio problem
• The strategy approval decision: a Sharpe ratio indifference curve approach
• Optimal Financial Portfolios
• On the equivalence of the static and dynamic asset allocation problems
• A Note on a Recent Paper by Zaks, Frostig and Levikson
• BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
• Portfolio optimization when expected stock returns are determined by exposure to risk
• Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models
• Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns
• Testing of equivalency of portfolios with the maximum Sharpe ratio and the maximum expected utility
• The geometry of risk adjustments

This page was built for publication: New light on the portfolio allocation problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1812298)