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

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

Yan Zeng, Xun Li, Haixiang Yao, 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)

Cites Work

• Title not available (Why is that?)
• Implications of the Sharpe ratio as a performance measure in multi-period settings
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Controlled Markov processes and viscosity solutions
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• 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
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Safety First and the Holding of Assets
• Optimal multi-period mean-variance policy under no-shorting constraint
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
• Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
• The premium of dynamic trading
• Time consistent policy of multi-period mean-variance
• A note on empirical Sharpe ratio dynamics

Cited In (7)

• Title not available (Why is that?)
• Robust investment strategies with two risky assets
• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
• The large-sample distribution of the maximum Sharpe ratio with and without short sales

   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 👍 👎
• 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 👍 👎
• Title not available (Why is that?) 👍 👎

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)