
Sharpe Ratio
The Sharpe ratio is the most widely used metric for comparing the
performance of financial assets. The Markowitz portfolio is the portfolio with
the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications
examines the statistical propertiesof the Sharpe ratio and Markowitz portfolio,
both under the simplifying assumption of Gaussian returns and asymptotically.
Connections are drawn betwe...
The Sharpe ratio is the most widely used metric for comparing the
performance of financial assets. The Markowitz portfolio is the portfolio with
the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications
examines the statistical propertiesof the Sharpe ratio and Markowitz portfolio,
both under the simplifying assumption of Gaussian returns and asymptotically.
Connections are drawn betwe...