Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming

DOI10.3934/jimo.2021235OpenAlexW4205098091MaRDI QIDQ2691241

Yanyan Li

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2021235

zbMATH Keywords

Sharpe ratioportfolio selectionefficient frontiercritical-line algorithmparametric-quadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

Cites Work

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• Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
• Parametrically computing efficient frontiers and reanalyzing efficiency-diversification discrepancies and naive diversification

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