I am conducting out of sample backtests of the MV framework. But how exactly do I derive the Maximum Sharpe Ratio portfolio for this? The standard forumula of the Sharpe Ratio is given by:
$$\frac{(w r - r_f)}{\sqrt{w Σ w'}}$$
Lets say I have an estimation window of 60 monthly returns on whose basis I derive the optimal portfolio weights. Which risk free rate $r_f$ would I have to use here or would I have to use any at all?
I'd appreciate any help!