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arXiv · 1610.00937

Sharpe portfolio using a cross-efficiency evaluation

Juan F. Monge·Mercedes Landete·José L. Ruiz
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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-Eficiency Sharpe ratio portfolio is presented when short selling is allowed.

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BibTeXRIS

Juan F. Monge, Mercedes Landete, José L. Ruiz. 2016-10-04. Sharpe portfolio using a cross-efficiency evaluation. https://doi.org/10.1007/978-3-030-43384-0

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