Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice

5 Feb 2020Mehmet CanerMarcelo MedeirosGabriel Vasconcelos

In this paper, we analyze maximum Sharpe ratio when the number of assets in a portfolio is larger than its time span. One obstacle in this large dimensional setup is the singularity of the sample covariance matrix of the excess asset returns... (read more)

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