Open AccessOptimal Sharpe ratio in continuous-time markets with and without a risk-free asset
Author(s) -
Haixiang Yao,
Zhongfei Li,
Xun Li,
Yan Zeng
Publication year - 2016
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2016072
Subject(s) - sharpe ratio , efficient frontier , portfolio , asset (computer security) , capital asset pricing model , econometrics , economics , modern portfolio theory , information ratio , computer science , financial economics , computer security
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