Timeline for Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory?
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Oct 30, 2020 at 15:04 | comment | added | develarist | @Vim it maximizes $\frac{w^T \mu - r_f}{\sqrt{w^T\Sigma w}}$ which is yes the Sharpe ratio. the op re-stated $\mu$ to be excess returns inclusive of $r_f$ | |
| Feb 12, 2019 at 10:01 | comment | added | Vim | Hi, would you also elaborate a bit on why such a portfolio is called max Sharpe portfolio? Does it maxmise $w^T r / \sqrt{w^T\Sigma w}$? | |
| Feb 4, 2014 at 13:46 | answer | added | Hamed | timeline score: 7 | |
| Aug 3, 2013 at 4:44 | vote | accept | Slow Learner | ||
| Aug 1, 2013 at 16:43 | answer | added | John | timeline score: 13 | |
| Aug 1, 2013 at 14:47 | history | tweeted | twitter.com/#!/StackQuant/status/362947726041825280 | ||
| Aug 1, 2013 at 11:18 | answer | added | papdog | timeline score: -1 | |
| Jul 30, 2013 at 2:38 | history | edited | chrisaycock | CC BY-SA 3.0 |
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| Jul 30, 2013 at 2:25 | history | asked | Slow Learner | CC BY-SA 3.0 |