Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping

Gonzales, Rolando (2009): Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping.

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.

• Item Type: MPRA Paper
• English Title: Portfolio analysis with Sharpe ratios resampled by bootstrapping
• Language: Spanish
• Keywords: Análisis de portafolio; bootstraping
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General

References

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