Bias and consistency of the maximum Sharpe ratio
We show that the maximum Sharpe ratio obtained via the Markowitz optimization procedure from a sample of returns on a number of risky assets is, under commonly satisfied assumptions, biased upwards for the population value. Thus investment advice, decisions and assessments based on the estimated Sha...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Incisive Media Ltd.
2005
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| Online Access: | http://hdl.handle.net/20.500.11937/21491 |