IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v16y2016i2p297-307.html
   My bibliography  Save this article

A uniformly distributed random portfolio

Author

Listed:
  • Woo Chang Kim
  • Yongjae Lee

Abstract

In this study, we propose a uniformly distributed random portfolio as an alternative benchmark for portfolio performance evaluation. The uniformly distributed random portfolio is analogous to an enumeration of all feasible portfolios without any prior on the market. Therefore, the relative ranking of a portfolio can be evaluated without peer group information. We derive a closed-form expression for the probability distribution of the Sharpe ratio of a uniformly distributed random portfolio, and conduct comparative analysis with US equity mutual funds. We find that the uniformly distributed random portfolio properly captures the historical performance distribution of equity mutual funds. In addition, we evaluate performance of cap-weighted equity portfolios via uniformly distributed random portfolios.

Suggested Citation

  • Woo Chang Kim & Yongjae Lee, 2016. "A uniformly distributed random portfolio," Quantitative Finance, Taylor & Francis Journals, vol. 16(2), pages 297-307, February.
    • Handle: RePEc:taf:quantf:v:16:y:2016:i:2:p:297-307
    DOI: 10.1080/14697688.2015.1114360
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2015.1114360
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2015.1114360?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Anlan Wang & Aleš Kresta & Tomáš Tichý, 2024. "Evaluation of strategy portfolios," Computational Management Science, Springer, vol. 21(1), pages 1-27, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:16:y:2016:i:2:p:297-307. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.