چکیده مقاله
The Sharpe ratio is one the most commonly used tools to evaluate the performance of investment strategies A related measure that is widely used in testing the arbitrage pricing theory is the squared Sharpe ratio In this paper, we consider the squared maximum Sharpe ratio SMSR of a two assets portfolio, as a single value that summarizes the joint performance of a bivariate random vector of returns of assets We propose a copula based approach to deal with the problem of estimating the SMSR Considering the SMSR as a bivariate Sharpe ratio, which is a function of the marginal Sharpe ratios and the correlation coefficient of the asset’s returns, can help in choosing the components of a two assets portfolio The application of the proposed estimator is shown by a real data analysis
نویسندگان
S.S Mousavi
Department of Statistics Yazd university Yazd, Iran
A Dolati
S.S Mousavi Department of Statistics Yazd university Yazd, IranA Dastbaravarde
A Dastbaravarde
S.S Mousavi Department of Statistics Yazd university Yazd, IranA Dolati
شیوه ارجاع
Mousavi, S.S and Dolati, A and Dastbaravarde, A,1402,Sorting two assets portfolios by copula-based Squared Maximum Sharpe Ratio,The 16th International Conference on New Researches in Management, Economics, Accounting and Banking
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