QUANTIFYING THE IMPACT OF PARTIAL INFORMATION ON SHARPE RATIO OPTIMIZATION

DOI10.1017/S0269964813000090zbMath1271.91098OpenAlexW2131295530MaRDI QIDQ5891126

Lin Zhao, Lihong Zhang

Publication date: 28 August 2013

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964813000090

zbMATH Keywords

continuous-time modelmean-reverting environmentparameters in stock return predictorpassive trading strategiespessimistic investors

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Cites Work

• Implications of the Sharpe ratio as a performance measure in multi-period settings
• Strategic asset allocation
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Dynamic Asset Allocation in a Mean-Variance Framework
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Intertemporal Asset Pricing under Knightian Uncertainty
• Learning Under Ambiguity
• Mean‐Variance Portfolio Selection under Partial Information

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