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q-fin.PM2026
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…
q-fin.PM2026
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…