Sharpe Performance Measure and Treynor Performance Measure Approach to Portfolio Analysis

DOI10.1142/9789811202391_0082zbMath1454.91216OpenAlexW3080294979MaRDI QIDQ5139512

Paul Chiou, Cheng-Few Lee

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_0082

zbMATH Keywords

Lagrangian multipliersrisk-free rateSharpe performance measureshort sales allowedshort sales not allowedTreynor performance measure

Mathematics Subject Classification ID

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

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