An Algorithm for Finding a Portfolio with the Highest Sharpe Ratio

Khokhlov, Valentyn

doi:10.2139/ssrn.1767338

Cited by 3 publications

(3 citation statements)

References 2 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In terms of solving a quadratic programming problem, the Sharpe-optimal portfolio introduced by William Sharpe (Sharpe, 1987) is to solve an optimal capital allocation in existence of the lowest risk asset. It implies that the capital market line (CML) and the Markowitz efficient frontier are optimally tangent at the point that has the highest Sharpe ratio (Khokhlov, 2011). The Sharpe ratio maximization algorithm can be mathematically expressed as the following formula:…”

Section: Markowitz Optimizationmentioning

confidence: 99%

See 1 more Smart Citation

The Perspective of Balancing the Economic Growth of Healthcare Systems and Environmental Prevention

Saosaovaphak

Chaiboonsri

Wannapan

2021

International Journal of Asian Business and Information Management

View full text Add to dashboard Cite

Based on real situations that mankind is confronting with the difficult era; insufficiency in food supplies, natural disasters, epidemic, etc. The paper is to econometrically compute portfolio optimization and predict efficiency frontiers for solving the most sensible scenario to suggest a sustainable policy in the three important pillars such as the growth of economic systems, environmental management, and public healthcare. The main observations are annual time-series information between 2000 and 2017 and collected from three countries in ASEAN. Singapore, Thailand, and Malaysia are the target. Methodologically, this research is to apply the quantum mechanism and the wave function for clarifying a real data distribution; true mean, and standard deviation of the data. These outcomes are the initial raw material for the modern portfolio optimization (for short-run policies) and efficient frontier computation (for long-term policies). Empirically, the results show some exclusive issues that can be the help for managing feasible budget allocations fairly and sustainably.

show abstract

Section: Markowitz Optimizationmentioning

confidence: 99%

“…The highest possible Sharpe ratio when the condition (11) is satisfied, this is the solution for the Sharpe-optimal portfolio without having to resolve a non-liner programming riddle (Khokhlov, 2011).…”

Section: Markowitz Optimizationmentioning

confidence: 99%

The Perspective of Balancing the Economic Growth of Healthcare Systems and Environmental Prevention

Saosaovaphak

Chaiboonsri

Wannapan

2021

International Journal of Asian Business and Information Management

View full text Add to dashboard Cite

show abstract

“…Sharpe ratio is calculated by using the risk-free return divided by the risk-free standard deviation of the portfolio. The proposed algorithm for the Sharpe ratio maximization introduces a feasible and straightforward way of portfolio optimization [4]. By comparing an optimal portfolio that minimizes the Value-at-Risk and at the same time coincides with the market portfolio on the Sharpe ratio portfolio, a confidence interval for the suggested risk measure of the Sharpe ratio portfolio is constructed and applied to actual data [5].…”

Section: Introductionmentioning

confidence: 99%

How to allocate portfolio weight based on the FF3F model

Gao¹,

Yang²

2022

BCPBM

View full text Add to dashboard Cite

Selecting the correct stocks and funds is essential for portfolio management and allocation. In order to reduce the risk of the portfolio, it is better to diversify the assets and select the stocks within more than one sector. Another step would be setting the portfolio with the firefighter case or without it. The firefighter case illustrates that we suppose there is a firefighter who has 25 years of service as a firefighter who will be retired in Florida. The Florida government gives the retired firefighter two choices. He takes the lump-sum payout and invests his nest egg and the lump sum in supporting him throughout his retirement. Another one is that he takes the pension benefit and invests his nest egg in supplementing the pension benefit. In this case, we compared those two and finally selected the one in which he maintained the pension and made the pension weight precisely equal to 71%. The Sharpe ratio for this scenario is relatively higher than the another. Moreover, choosing the correct financial model. Comparing the pros and cons between the CAPM model and the Fama French Three-Factor model, we found that the Fama French Three-Factor model is more related to reality and includes the market risk, making the portfolios more accurate and reliable.

show abstract

Tracking Portfolio Optimization

Khokhlov¹

2011

SSRN Journal

View full text Add to dashboard Cite

An Algorithm for Finding a Portfolio with the Highest Sharpe Ratio

Cited by 3 publications

References 2 publications

The Perspective of Balancing the Economic Growth of Healthcare Systems and Environmental Prevention

The Perspective of Balancing the Economic Growth of Healthcare Systems and Environmental Prevention

How to allocate portfolio weight based on the FF3F model

Tracking Portfolio Optimization

Contact Info

Product

Resources

About