Research on the sharpe ratio of portfolio selection problem

摘要：

In this paper, some properties of the maximum Sharpe ratio are discussed when short sale is allowed or not. Furthermore, a numerical example is given to obtain the Sharpe ratio.

关键词： portfolio selection efficient frontier sharpe ratio

作者: WU Zhuwu XU Yingying

作者单位: School of Science,China University of Mining and Technology,Xuzhou,221116,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 142-144

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）