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

Recommendations

• Finite Sample Properties of Estimators for the Optimal Portfolio Weight
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• Comparison of different estimation techniques for portfolio selection

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)

Cites Work

• Title not available (Why is that?)
• Distributional properties of portfolio weights
• Title not available (Why is that?)
• ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
• Estimation for Markowitz Efficient Portfolios
• Comparison of different estimation techniques for portfolio selection

Cited In (11)

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

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