英文标题：
《Notes on Fano Ratio and Portfolio Optimization》
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作者：
Zura Kakushadze and Willie Yu
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最新提交年份：
2018
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英文摘要：
We discuss - in what is intended to be a pedagogical fashion - generalized \"mean-to-risk\" ratios for portfolio optimization. The Sharpe ratio is only one example of such generalized \"mean-to-risk\" ratios. Another example is what we term the Fano ratio (which, unlike the Sharpe ratio, is independent of the time horizon). Thus, for long-only portfolios optimizing the Fano ratio generally results in a more diversified and less skewed portfolio (compared with optimizing the Sharpe ratio). We give an explicit algorithm for such optimization. We also discuss (Fano-ratio-inspired) long-short strategies that outperform those based on optimizing the Sharpe ratio in our backtests.
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中文摘要：
我们将以一种教学方式讨论投资组合优化的广义“平均风险”比率。夏普比率只是这种广义“平均风险”比率的一个例子。另一个例子是我们所称的法诺比率（与夏普比率不同，法诺比率独立于时间范围）。因此，对于长期投资组合而言，优化Fano比率通常会导致投资组合更加多样化，扭曲程度更低（与优化Sharpe比率相比）。我们给出了这种优化的显式算法。我们还讨论了（受Fano比率启发的）多空策略，这些策略在我们的回溯测试中优于基于优化夏普比率的策略。
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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
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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