Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset

DOI10.3934/JIMO.2016072zbMATH Open1361.90047OpenAlexW2531065808MaRDI QIDQ2397571FDOQ2397571

Authors Haixiang Yao, Xun Li, Yan Zeng, Zhongfei Li

Publication date 22 May 2017

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2016072

zbMATH Keywords

Sharpe ratioHamilton-Jacobi-Bellman equationefficient frontierefficient investment strategycontinuous-time mean-variance model

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
• Continuous-time optimal portfolio under a value-at-risk constraint
• Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling
• Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization.
• Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
• On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
• scientific article; zbMATH DE number 1462624

Cites work

• A note on empirical Sharpe ratio dynamics
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-time mean-variance portfolio selection with finite transaction
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Controlled Markov processes and viscosity solutions
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
• Implications of the Sharpe ratio as a performance measure in multi-period settings
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal multi-period mean-variance policy under no-shorting constraint
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Safety First and the Holding of Assets
• The premium of dynamic trading
• Time consistent policy of multi-period mean-variance

Cited in

(11)

• Robust investment strategies with two risky assets
• The premium of dynamic trading
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
• The premium of dynamic trading in a discrete-time setting
• A mixed sharpe ratio
• scientific article; zbMATH DE number 1462624 (Why is no real title available?)
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS

This page was built for publication: Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2397571)