Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns

DOI10.1016/j.econlet.2024.111531OpenAlexW4390977056WikidataQ129905040 ScholiaQ129905040MaRDI QIDQ6194459

Yu-Ting Chen, Valerio Potì

Publication date: 19 March 2024

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2024.111531

zbMATH Keywords

regularizationmaximal sharpe ratiopolynomial pricing kernelspricing kernel volatility

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Lasso-driven inference in time and space

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