英文标题：
《Sharpe portfolio using a cross-efficiency evaluation》
---
作者：
Juan F. Monge, Mercedes Landete and Jos\\\'e L. Ruiz
---
最新提交年份：
2016
---
英文摘要：
The Sharpe ratio is a way to compare the excess returns (over the risk free asset) of portfolios for each unit of volatility that is generated by a portfolio. In this paper we introduce a robust Sharpe ratio portfolio under the assumption that the risk free asset is unknown. We propose a robust portfolio that maximizes the Sharpe ratio when the risk free asset is unknown, but is within a given interval. To compute the best Sharpe ratio portfolio all the Sharpe ratios for any risk free asset are considered and compared by using the so-called cross-efficiency evaluation. An explicit expression of the Cross-Eficiency Sharpe ratio portfolio is presented when short selling is allowed.
---
中文摘要：
夏普比率是一种比较投资组合的超额收益（相对于无风险资产）与投资组合产生的每单位波动率的方法。本文在无风险资产未知的假设下，引入了一个稳健的夏普比率投资组合。我们提出了一个稳健的投资组合，当无风险资产未知但在给定区间内时，该投资组合可以最大化夏普比率。为了计算最佳夏普比率投资组合，考虑了任何无风险资产的所有夏普比率，并使用所谓的交叉效率评估进行了比较。当允许卖空时，给出了交叉效率夏普比率投资组合的显式表达式。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--

---
PDF下载：
-->