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On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

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Author Info
Wolfgang Schmid ()
Taras Zabolotskyy
Abstract

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File URL: http://hdl.handle.net/10.1007/s10182-008-0054-5
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Publisher Info
Article provided by Springer in its journal AStA Advances in Statistical Analysis.

Volume (Year): 92 (2008)
Issue (Month): 1 (February)
Pages: 29-34
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Handle: RePEc:spr:alstar:v:92:y:2008:i:1:p:29-34

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Related research
Keywords: Optimal portfolio weights; Unbiased estimator; Asymptotically unbiased estimator; Sharpe ratio optimal weights;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. MacKinlay, A Craig & Pastor, Lubos, 2000. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(4), pages 883-916.
    Other versions:
  2. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September. [Downloadable!] (restricted)
  3. Yarema Okhrin & Wolfgang Schmid, 2007. "Comparison of different estimation techniques for portfolio selection," AStA Advances in Statistical Analysis, Springer, vol. 91(2), pages 109-127, August. [Downloadable!] (restricted)
  4. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August. [Downloadable!] (restricted)
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This page was last updated on 2009-12-22.

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