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Can We Give the Maximum Sharpe Ratio Portfolio a Chance?

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2024

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KNOTH, Sven, Hrsg., Yarema OKHRIN, Hrsg., Philipp OTTO, Hrsg.. Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science : Essays in Honour of Wolfgang Schmid. 1. Cham: Springer, 2024, S. 337-366. ISBN 978-3-031-69110-2. Verfügbar unter: doi: 10.1007/978-3-031-69111-9_16

Zusammenfassung

This chapter studies the applicability of the maximum Sharpe ratio (MaxSR) portfolio strategy in real-world settings. As shown by Okhrin and Schmidt the plug-in estimated weights show abysmal distributional properties such that it renders an application impossible for financial practitioners. In this chapter we propose a double regularization approach for the MaxSR portfolio strategy based on the bagged pretested portfolio selection (BPPS) algorithm. We show that for certain settings the doubly shrunken portfolio weights strongly mitigate the adverse properties of the plug-in estimated weights and can beat the popular 1/N benchmark strategy.

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ISO 690POHLMEIER, Winfried, Ekaterina KAZAK, 2024. Can We Give the Maximum Sharpe Ratio Portfolio a Chance?. In: KNOTH, Sven, Hrsg., Yarema OKHRIN, Hrsg., Philipp OTTO, Hrsg.. Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science : Essays in Honour of Wolfgang Schmid. 1. Cham: Springer, 2024, S. 337-366. ISBN 978-3-031-69110-2. Verfügbar unter: doi: 10.1007/978-3-031-69111-9_16
BibTex
@incollection{Pohlmeier2024Maxim-71133,
  year={2024},
  doi={10.1007/978-3-031-69111-9_16},
  title={Can We Give the Maximum Sharpe Ratio Portfolio a Chance?},
  edition={1},
  isbn={978-3-031-69110-2},
  publisher={Springer},
  address={Cham},
  booktitle={Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science : Essays in Honour of Wolfgang Schmid},
  pages={337--366},
  editor={Knoth, Sven and Okhrin, Yarema and Otto, Philipp},
  author={Pohlmeier, Winfried and Kazak, Ekaterina}
}
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