Sharpe Performance Measure and Treynor Performance Measure Approach to Portfolio Analysis

Paul Chiou and Cheng Few Lee

Chapter 82 in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes), 2020, pp 2801-2838 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The main points of this chapter show how Markowitz’s portfolio selection method can be simplified by either Sharpe performance measure or Treynor performance measure. These two approaches do not need to use constrained optimization procedure, however, these methods do require the existence of risk-free rate. Overall, this chapter has mathematically demonstrated how Sharpe measure and Treynor measure can be used to determine optimal portfolio weights.

Keywords: Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data (search for similar items in EconPapers)
JEL-codes: C01 C1 G32 (search for similar items in EconPapers)
Date: 2020
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