Portfolio analysis with Sharpe ratios resampled with bootstrapping
DOI:
https://doi.org/10.58567/eal02010004Keywords:
portfolio analysis, BootstrappingAbstract
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 of the expected returns and the variance-covariance matrix between the returns, that is, the estimation risk associated with these parameters.
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Copyright (c) 2023 Rolando Gonzales Martinez
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