Notes on the Sharpe ratio
نویسنده
چکیده
Herein is an incomplete collection of facts about the Sharpe ratio, and the Sharpe ratio of the Markowitz portfolio. Connections between the Sharpe ratio and the t-test, and between the Markowitz portfolio and the Hotelling T 2 statistic are explored. Many classical results for testing means can be easily translated into tests on assets and portfolios. A ‘unified’ framework is described which combines the mean and covariance parameters of a multivariate distribution into the uncentered second moment of a related random variable. This trick streamlines some multivariate computations, and gives the asymptotic distribution of the sample Markowitz portfolio.
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