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