13 citations · 23 across the 13 of their papers we have counts for
4 papers · 1 filter
Post Selection Estimation of Sharpe Ratios
Steven E. Pav
We consider the problem of estimating the true Sharpe ratio of an asset selected for having the highest observed in-sample Sharpe ratio among many assets. We discuss estimators bas…
The Sherman-Morrison-Markowitz Portfolio
Steven E. Pav
We show that the Markowitz portfolio is a scalar multiple of another portfolio which replaces the covariance with the second moment matrix, via simple application of the Sherman-Mo…
Bounds on Portfolio Quality
Steven E. Pav
The signal-noise ratio of a portfolio of p assets, its expected return divided by its risk, is couched as an estimation problem on the sphere. When the portfolio is built using noi…
Asymptotic distribution of the Markowitz portfolio
Steven E. Pav
The asymptotic distribution of the Markowitz portfolio is derived, for the general case (assuming fourth moments of returns exist), and for the case of multivariate normal returns.…