A Modified Sharpe Ratio Based Portfolio Optimization

A Modified Sharpe Ratio Based Portfolio Optimization

The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights are found by maximizing a modified Sharpe ratio measure each trading day, where modified refers to the expected...

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Bibliographic Details
Main Author: Lorentz, Pär
Format: Others
Language:English
Published: KTH, Matematisk statistik 2012
Subjects:
Modified Sharpe Ratio
Portfolio Optimization
Transaction Cost
Conditional Forecasting
Performance Analysis
Transition Probability
Stochastic Count Process
Value-at-Risk
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275

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