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One Approach For Finding An Optimalportfolio Of Multiple Risky Assets

Author

Listed:
  • Yordan Petkov

    (University of Economics – Varna, Bulgaria)

Abstract

The problem of making optimal investment decisions is central to portfolio managers. This report proposes an approach for identifying an optimal portfolio of multiple risky assets that maximizes the Sharpe ratio. The methodology is demonstrated using numerical example.

Suggested Citation

  • Yordan Petkov, 2020. "One Approach For Finding An Optimalportfolio Of Multiple Risky Assets," Economic Science, education and the real economy: Development and interactions in the digital age, Publishing house Science and Economics Varna, issue 1, pages 590-598.
    • Handle: RePEc:vrn:cfdide:y:2020:i:1:p:590-598
    as

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    File URL: https://ue-varna.bg/~uevarna/uploads/filemanager/303/publishing-complex/2020/Economic_science_education_real_economy_T3_2020.pdf
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    More about this item

    Keywords

    portfolio; optimization; Sharpe ratio; capital allocation line;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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