I read a paper from Ledoit and Wolf that proposes a method to compare two Sharpe ratios and a paper from White that proposes a method to compare $n$ trading rules. My question is: Can we use White's ...
The Hansen-Jagannathan bound states that the maximum Sharpe ratio of a portfolio can't exceed the ratio of the standard deviation of a stochastic discount factor to its mean. I more or less understand ...
I have used sharpe ratio to build a portfolio, the trouble is some of the asset returns do not meet the CAPM threshold. Would it be reasonable for a portfolio application to not add any assets to the ...