Journal of Asset Management (J Asset Manag )
Each issue of the Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.
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- WebsiteJournal of Asset Management website
- Material typeInternet resource
- Document typeInternet Resource, Computer File, Journal / Magazine / Newspaper
- Classification yellow
Publications in this journal
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ABSTRACT: We propose a robust portfolio optimization approach based on Value-at-Risk (VaR) adjusted Sharpe ratios. Traditional Sharpe ratio estimates based on limited historical return data are subject to estimation errors. Portfolio optimization based on traditional Sharpe ratios ignores this uncertainty in parameter estimation from historical data and is therefore not robust. In this paper, we propose a robust portfolio optimization framework that selects the portfolio with the largest worse-case-scenario Sharpe ratios. We show that this framework is equivalent to maximizing the Sharpe ratio reduced by the VaR of the Sharpe ratio and highlight the relationship between the VaR-adjusted Sharpe ratios and other modied Sharpe ratios proposed in the literature. In addition, we present both numerical and empirical results comparing optimal portfolios generated by the approach advocated here and those generated by alternative optimization approaches.Journal of Asset Management 11/2013; 14(5):293-305.
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