An Algorithm for Finding a Portfolio with the Highest Sharpe Ratio-Reference-Cited by-同舟云学术

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An Algorithm for Finding a Portfolio with the Highest Sharpe Ratio

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Khokhlov Valentyn

Publisher

Elsevier BV

Reference3 articles.

1. Portfolio Selection;Harry Markowitz;The Journal of Finance,1952

2. An Algorithm for Portfolio Improvement;William Sharpe;Advances in Mathematical Programming and Financial Planning,1987

3. Diversification, Rebalancing, and the Geometric Mean Frontier

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