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The Sharpe ratio of estimated efficient portfolios · Study

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ArticleThe Sharpe ratio of estimated efficient portfolios

Apostolos Kourtis2016

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Articlegreen2016

The Sharpe ratio of estimated efficient portfolios

Apostolos Kourtis

48 citations·0/0 files stored·Finance research letters

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*1966Mutual Fund Performance 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1980On estimating the expected return on the market 1994The Sharpe Ratio 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice 2002The Statistics of Sharpe Ratios

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Year2016

Typearticle

Published2016-02-01

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations48

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ShelfRisk and Portfolio Optimization

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doi10.1016/j.frl.2016.01.009

openalex_workW2308077997

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