ONE APPROACH FOR FINDING AN OPTIMALPORTFOLIO OF MULTIPLE RISKY ASSETS

Yordan Petkov ()
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Yordan Petkov: University of Economics – Varna, Bulgaria

Economic Science, education and the real economy: Development and interactions in the digital age, 2020, issue 1, 590-598

Abstract: The problem of making optimal investment decisions is central to portfolio managers. This report proposes an approach for identifying an optimal portfolio of multiple risky assets that maximizes the Sharpe ratio. The methodology is demonstrated using numerical example.

Keywords: portfolio; optimization; Sharpe ratio; capital allocation line (search for similar items in EconPapers)
JEL-codes: C60 G11 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:vrn:cfdide:y:2020:i:1:p:590-598

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