On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

DOI10.1007/S10182-008-0054-5zbMATH Open1171.62066OpenAlexW2017302640MaRDI QIDQ732229FDOQ732229

Authors Wolfgang Schmid, T. Zabolotskyy

Publication date 9 October 2009

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-008-0054-5

zbMATH Keywords

unbiased estimatoroptimal portfolio weightsasymptotically unbiased estimatorSharpe ratio optimal weights

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Finite Sample Properties of Estimators for the Optimal Portfolio Weight
• Distributional properties of portfolio weights
• Some improved estimators of maximum squared Sharpe ratio
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• Comparison of different estimation techniques for portfolio selection
• Distributional properties of portfolio weights
• ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
• Estimation for Markowitz Efficient Portfolios

Cited in

(14)

• Some improved estimators of maximum squared Sharpe ratio
• A test on the location of the tangency portfolio on the set of feasible portfolios
• On the exact distribution of the estimated expected utility portfolio weights: theory and applications
• Statistical analysis of Sharpe ratio of the Sharpe ratio optimal portfolio
• Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
• Statistical inference of the efficient frontier for dependent asset returns
• Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
• Some critical insights on the unbiased efficient frontier à la Bodnar \& Bodnar
• A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices
• Quantile-based optimal portfolio selection
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models

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