Portfolio Selection Using the Sharpe Ratio

Radu Tunaru

Chapter 11 in Model Risk in Financial Markets:From Financial Engineering to Risk Management, 2015, pp 257-261 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this chapter real data is used for a portfolio analysis problem with the declared scope of highlighting the pitfalls that may appear when using the Sharpe ratio. There is a growing literature on improving or adjusting the classical Sharpe ratio for investments analysis. Important and useful reading can be found in [Sharpe (1994)], [Dowd (2000a)], [Lo (2002)], [Goetzmann et al. (2004)] and [Cerny (2009)]…

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
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