Please use this identifier to cite or link to this item: https://hdl.handle.net/11000/6274

Sharpe Portfolio Using a Cross-Efficiency Evaluation

Title:
Sharpe Portfolio Using a Cross-Efficiency Evaluation
Authors:
Landete Ruiz, Mercedes
Monge Ivars, Juan Francisco
Segura, José V.
Department:
Departamentos de la UMH::Estadística, Matemáticas e Informática
Issue Date:
2020-05-23
Abstract:
The Sharpe ratio is a way to compare the excess returns (over the risk-free asset) of portfolios for each unit of volatility that is generated by a portfolio. In this paper, we introduce a robust Sharpe ratio portfolio under the assumption that the risk-free asset is unknown. We propose a robust portfolio that maximizes the Sharpe ratio when the risk-free asset is unknown, but is within a given interval. To compute the best Sharpe ratio portfolio, all the Sharpe ratios for any risk-free asset are considered and compared by using the so-called cross-efficiency evaluation. An explicit expression of the Cross-Efficiency Sharpe Ratio portfolio is presented when short selling is allowed.
Keywords/Subjects:
Finance
Portfolio
Minimum-variance portfolio
Cross-efficiency
Type of document:
application/pdf
Access rights:
info:eu-repo/semantics/openAccess
Appears in Collections:
Artículos



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