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Document type:
Zeitschriftenaufsatz 
Author(s):
Durand, R., Jafarpour, H., Klüppelberg, C., Maller, R. 
Title:
Maximize the sharpe ratio and minimize a VaR 
Abstract:
In addition to its role as the optimal ex ante combination of risky assets for a risk-averse investor, possessing the highest potential return-for-risk tradeoff, the tangency or Maximum Sharpe Ratio portfolio in the Markowitz (1952, 1991) procedure plays an important role in asset man-agement, as it minimizes the probability that a future portfolio return falls below the risk-free or reference rate. This is a kind of Value at Risk (VaR) property of the portfolio. In this paper we demonstrate the...    »
 
Journal title:
Journal of Wealth Management 
Year:
2010 
Journal volume:
13 
Journal issue:
Pages contribution:
91-102 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text