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Searched for: [ Keywords: "Portfolio diversification" ] clear all
Journal Article
Portfolio analysis with Sharpe ratios resampled with bootstrapping
by Rolando Gonzales Martinez
Abstract
In this paper, a portfolio analysis is carried out using the Sharpe ratio to identify the optimal market portfolio. The measure of investment performance with a Sharpe ratio is compared to results obtained with bootstrapped resamples of the Sharpe ratio. The results indicate that the choice of the market portfolio is highly affected by the uncertainty regarding the estimation o [...] Read more