Bias and consistency of the maximum Sharpe ratio

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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...

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Bibliographic Details
Main Authors:	Maller, R., Durand, Robert, Lee, P.
Format:	Journal Article
Published:	Incisive Media Ltd. 2005
Online Access:	http://hdl.handle.net/20.500.11937/21491

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