Abstract

This paper aims to develop a feasible estimator of the Sharpe ratio that the investor would expect from estimated efficient portfolios. Based on the analytical expression of the expected Sharpe ratio, we construct an estimator that captures all the errors involved in the estimated efficient portfolios. We conduct a simulation study and find that our estimator delivers the lowest mean square error with comparison to existing estimators. Our result is robust to sample size, to number of assets and to non-normality. It works well, particularly, with short sample sizes. The superior performance of the proposed estimator is confirmed through empirical analysis. The ex-ante method developed in this work allows the investor to assess the value of efficient portfolios before investing capital.

摘要

本文旨在开发一个可行的夏普比率估计器，投资者期望从估计的有效投资组合中获得该比率。基于预期夏普比率的分析表达式，我们构建了一个估计器，它捕获了估计的有效投资组合中涉及的所有错误。我们进行了一项模拟研究，发现与现有估计器相比，我们的估计器提供了最低的均方误差。我们的结果对样本大小、资产数量和非正态性都是稳健的。它运作良好，尤其是在样本量较短的情况下。通过实证分析证实了所提出的估计器的优越性能。在这项工作中开发的事前方法允许投资者在投资资本之前评估有效投资组合的价值。