학술논문
Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping
[Portfolio analysis with Sharpe ratios resampled by bootstrapping]
[Portfolio analysis with Sharpe ratios resampled by bootstrapping]
Document Type
redif-paper
Author
Source
University Library of Munich, Germany, MPRA Paper.
Subject
Language
English
Abstract
In this work we make a traditional portfolio analysis using the Sharpe ratio to identify the market portfolio. This measure of investment performance was compared with those obtained with bootstrapping the Sharpe ratio. The results indicate that the choice of market portfolio is greatly affected by the uncertainty regarding the estimation of expected returns and the variance-covariance matrix of returns, i.e. the estimation risk associated with these parameters.