# Tag Info

If $Q$ is your covariance matrix, and $r$ is a vector of your expected returns, then the maximum Sharpe ratio is given by the following math program. $${\rm maximize} \frac{r^t x}{\sqrt{0.5 x^t Q x}}$$ subject to $$1^t x = m$$ $$x \in \{0,1\}^n$$ Where $x$ is a vector of indicators of which of the $n$ assets are part of the $m$ selected assets. While the ...