How risky is the optimal portfolio which maximizes the Sharpe ratio?
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Publication:1622090
DOI10.1007/s10182-016-0270-3zbMath1443.62333OpenAlexW2395282429MaRDI QIDQ1622090
Taras Bodnar, Taras Zabolotskyy
Publication date: 12 November 2018
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10182-016-0270-3
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Related Items (6)
A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ A risk perspective of estimating portfolio weights of the global minimum-variance portfolio ⋮ Another look at portfolio optimization with mental accounts ⋮ How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ Higher order moments of the estimated tangency portfolio weights
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