The Sharpe Ratio

Herein is a hodgepodge of facts about the Sharpe ratio, and the Sharpe ratio of the Markowitz portfolio. Connections between the Sharpe ratio and the t -test, and between the Markowitz portfolio and the Hotelling T 2 statistic are explored. Many classical results for testing means can be easily translated into tests on assets and portfolios. A ‘unified’ framework is described which combines the mean and covariance parameters of a multivariate distribution into the uncentered second moment of a related random variable. This trick streamlines some multivariate computations, and gives the asymptotic distribution of the sample Markowitz portfolio.

• Publication year

  2021

• Venue

  Unknown venue

• Publication date

  2021-08-05

• Fields of study

  Not labeled

• Identifiers
  DOI 10.1201/9781003181057
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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