Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping

Portfolio analysis with Sharpe ratios resampled by bootstrapping

Rolando Gonzales Martínez

MPRA Paper from University Library of Munich, Germany

Abstract: In this work we make a traditional portfolio analysis using the Sharpe ratio to identify the market portfolio. This measure of investment performance was compared with those obtained with bootstrapping the Sharpe ratio. The results indicate that the choice of market portfolio is greatly affected by the uncertainty regarding the estimation of expected returns and the variance-covariance matrix of returns, i.e. the estimation risk associated with these parameters.

Keywords: Análisis de portafolio; bootstraping (search for similar items in EconPapers)
JEL-codes: C15 G11 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28402

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