Open Access Journal Article

Portfolio analysis with Sharpe ratios resampled with bootstrapping

by Rolando Gonzales Martinez a,* orcid
a
Netherlands Interdisciplinary Demographic Institute, Royal Netherlands Academy of Science and Arts, Amsterdam, Netherlands
*
Author to whom correspondence should be addressed.
EAL  2023, 14; 2(1), 14; https://doi.org/10.58567/eal02010004
Received: 13 February 2023 / Accepted: 21 March 2023 / Published Online: 22 March 2023
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Abstract

In this paper, a portfolio analysis is carried out using the Sharpe ratio to identify the optimal market portfolio. The measure of investment performance with a Sharpe ratio is compared to results obtained with bootstrapped resamples of the Sharpe ratio. The results indicate that the choice of the market portfolio is highly affected by the uncertainty regarding the estimation of the expected returns and the variance-covariance matrix between the returns, that is, the estimation risk associated with these parameters.

Keywords: Portfolio analysis; Bootstrapping;
Copyright: © 2023 by Martinez. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
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ACS Style
Martinez, R. G. Portfolio analysis with Sharpe ratios resampled with bootstrapping. Economic Analysis Letters, 2023, 2, 14. https://doi.org/10.58567/eal02010004
AMA Style
Martinez R G. Portfolio analysis with Sharpe ratios resampled with bootstrapping. Economic Analysis Letters; 2023, 2(1):14. https://doi.org/10.58567/eal02010004
Chicago/Turabian Style
Martinez, Rolando G. 2023. "Portfolio analysis with Sharpe ratios resampled with bootstrapping" Economic Analysis Letters 2, no.1:14. https://doi.org/10.58567/eal02010004
APA style
Martinez, R. G. (2023). Portfolio analysis with Sharpe ratios resampled with bootstrapping. Economic Analysis Letters, 2(1), 14. https://doi.org/10.58567/eal02010004

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References

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