Bias and consistency of the maximum Sharpe ratio

By Ross Maller, Robert B. Durand, P. Lee. 2005

57 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f4db8eea2dc2f99ce5968b4fd1c90d394646bae6

How researchers see this paper

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In Finance

1. Huixia Liu
2. Z. Bai
3. Wing-Keung Wong
4. Noureddine El Karoui

In Management Science and Operations Research

1. Huixia Liu
2. Z. Bai
3. Wing-Keung Wong
4. Noureddine El Karoui

Citations in the corpus

• ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009, background): “4 We note that Maller, Durand, and Lee (2005) also prove the maximum Sharpe ratio is biased upward for its population value.”