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1 vote

Confidence in Sharpe ratio given performance

I was wondering the same thing. I found your question, then I found this, so I came back to share the link: https://www.twosigma.com/articles/sharpe-ratio-estimation-confidence-intervals-and-...
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  • 11
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Is there a performance measure for the entire efficient frontier?

Probably under utilized is the Area Under the Curve (AUC or ROC). Assuming a straight level represents equal increments of reward and risk, measuring the mean variance line area under the curve (as ...
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1 vote

Is there a performance measure for the entire efficient frontier?

I remember that i saw an article using an numerical integral of the area below the efficient frontier to approximate the set of stochastically dominant portfolios for a given mean-variance combination ...
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  • 448
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Multi-Period Contribution

A short answer is you need to update the weight at each period. For return contribution, you should able to match the portfolio level return if there is no change in "holdings" but just ...
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