On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

DOI10.1007/s10182-008-0054-5zbMath1171.62066OpenAlexW2017302640MaRDI QIDQ732229

Taras Zabolotskyy, Wolfgang Schmid

Publication date: 9 October 2009

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-008-0054-5

zbMATH Keywords

optimal portfolio weightsunbiased estimatorasymptotically unbiased estimatorSharpe ratio optimal weights

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items

How risky is the optimal portfolio which maximizes the Sharpe ratio? ⋮ Statistical inference of the efficient frontier for dependent asset returns ⋮ A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data ⋮ Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models ⋮ Quantile-based optimal portfolio selection ⋮ On the exact distribution of the estimated expected utility portfolio weights: Theory and applications ⋮ Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests

Cites Work

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• Distributional properties of portfolio weights
• Comparison of different estimation techniques for portfolio selection
• ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
• Estimation for Markowitz Efficient Portfolios

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