Some improved estimators of maximum squared Sharpe ratio

DOI10.1142/9789811202391_0074MaRDI QIDQ5139503zbMATH OpenOpenAlexFDO

Authors Siu Kai Choy, Buqing Yang

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0074

zbMATH Keywords

Bayes estimationfinite sampleSharpe ratiounbiased estimation

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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• On the market price of risk
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• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• Noise fit, estimation error and a Sharpe information criterion
• On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

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