How risky is the optimal portfolio which maximizes the Sharpe ratio?
How risky is the optimal portfolio which maximizes the Sharpe ratio?
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DOI：
10.1007/s10182-016-0270-3
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发表时间：
2017-01-01
影响因子：
1.4
通讯作者：
Zabolotskyy, Taras
中科院分区：
文献类型：
--
作者：
Bodnar, Taras;Zabolotskyy, Taras
在本文中，我们研究的最优投资组合的意义下，最大化夏普比率（SR）的性质，并开发了一个程序的计算风险的这种投资组合。这是通过构建一个最优的投资组合，最大限度地减少在险价值（VaR），并在同一时间符合切线（市场）的有效边界上的SR投资组合。最小风险值组合的显著性水平，然后用于确定市场组合和相应的SR组合的风险。然而，该显著性水平的表达取决于在实践中必须估计的未知参数。它导致的显著性水平的分布特性进行了详细研究的估计。在此基础上，构造了SR投资组合风险度量的置信区间，并应用于真实的数据。理论和实证研究结果都表明，SR投资组合是非常危险的，因为在大多数情况下，相应的显着性水平小于90%。
In this paper, we investigate the properties of the optimal portfolio in the sense of maximizing the Sharpe ratio (SR) and develop a procedure for the calculation of the risk of this portfolio. This is achieved by constructing an optimal portfolio which minimizes the Value-at-Risk (VaR) and at the same time coincides with the tangent (market) portfolio on the efficient frontier which is related to the SR portfolio. The resulting significance level of the minimum VaR portfolio is then used to determine the risk of both the market portfolio and the corresponding SR portfolio. However, the expression of this significance level depends on the unknown parameters which have to be estimated in practice. It leads to an estimator of the significance level whose distributional properties are investigated in detail. Based on these results, a confidence interval for the suggested risk measure of the SR portfolio is constructed and applied to real data. Both theoretical and empirical findings document that the SR portfolio is very risky since the corresponding significance level is smaller than 90 % in most of the considered cases.