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Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping
[Portfolio analysis with Sharpe ratios resampled by bootstrapping]

Author

Listed:
  • Gonzales, Rolando

Abstract

In this work we make a traditional portfolio analysis using the Sharpe ratio to identify the market portfolio. This measure of investment performance was compared with those obtained with bootstrapping the Sharpe ratio. The results indicate that the choice of market portfolio is greatly affected by the uncertainty regarding the estimation of expected returns and the variance-covariance matrix of returns, i.e. the estimation risk associated with these parameters.

Suggested Citation

  • Gonzales, Rolando, 2009. "Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping [Portfolio analysis with Sharpe ratios resampled by bootstrapping]," MPRA Paper 28402, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:28402
    as

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    References listed on IDEAS

    as
    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    2. Bao, Yong & Ullah, Aman, 2006. "Moments of the estimated Sharpe ratio when the observations are not IID," Finance Research Letters, Elsevier, vol. 3(1), pages 49-56, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Análisis de portafolio; bootstraping;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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