On Sharpe Ratio of a Mixture of Dependent Returns
کد مقاله : 1020-IAC1
علی دولتی *1، سمانه سادات موسوی2
1دانشگاه یزد - دانشکده ریاضی
2گروه آمار دانشگاه یزد
چکیده مقاله:
The selection of performance measures plays an important role in evaluating the portfolio performance. Choosing the best alternative from a range of portfolios to obtain maximum returns is crucial for market investors. The ratio of the portfolio's expected return to its standard deviation is known as the Sharpe ratio. Despite of its popularity in financial literature as a performance measure, whenever the dependency between the returns is overlooked, the calculated Sharpe ratio is biased. The aim of this talk is to study the effect of dependence on Sharpe ratio of a pooled portfolio in terms of the associated copula of returns. We will show that the optimal weights of portfolios depend to the type of dependency described by the copula of returns. Whenever the dependence is overlooked, the Sharpe ratio is either over or under evaluated and in practice, a decision based on this quantity can be misleading and induces wrong decision.
کلیدواژه ها:
Copula, Performance evaluation, Sharpe ratio
وضعیت : چکیده برای ارائه شفاهی پذیرفته شده است