Comparing large-sample maximum Sharpe ratios and incremental variable testing

DOI10.1016/j.ejor.2017.08.018zbMath1376.62063OpenAlexW2745613715MaRDI QIDQ1681279

Michael Hanke, Spiridon I. Penev

Publication date: 23 November 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.08.018

zbMATH Keywords

multivariate statisticsfinanceincremental variablesmaximum Sharpe ratiomean-variance spanning

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

Related Items (2)

Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming ⋮ Parameter-free robust optimization for the maximum-Sharpe portfolio problem

Cites Work

• Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling
• New light on the portfolio allocation problem
• A new foundation for the mean-variance analysis
• The opportunity cost of mean-variance choice under estimation risk
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• Coherent Measures of Risk
• The Distribution of the Sample Minimum-Variance Frontier
• A class of invariant consistent tests for multivariate normality
• A Test of the Efficiency of a Given Portfolio
• Optimal Financial Portfolios
• A Characterization of the Normal Distribution

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