How risky is the optimal portfolio which maximizes the Sharpe ratio? (Q1622090)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: How risky is the optimal portfolio which maximizes the Sharpe ratio? |
scientific article; zbMATH DE number 6976396
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | How risky is the optimal portfolio which maximizes the Sharpe ratio? |
scientific article; zbMATH DE number 6976396 |
Statements
How risky is the optimal portfolio which maximizes the Sharpe ratio? (English)
0 references
12 November 2018
0 references
tangent portfolio
0 references
sharpe ratio
0 references
value-at-risk
0 references
parameter uncertainty
0 references
elliptically contoured distributions
0 references
0 references
0 references
0.79231524
0 references
0.7890693
0 references
0.7884164
0 references
0.78755814
0 references
0.7756211
0 references
