夏普比率在投资组合管理中的应用
The Use of Sharpe Ratio in Investment Portfolio Management
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摘要: 讨论一种进行投资组合管理的方法。基于组合的分散投资原理,对DOWD(1999)的结论进行进一步的探讨,将改善组合的资产的数量由1个扩展到n个,并利用模拟数据验证一定条件下n的“最优”取值。Abstract: This paper discussed the use of Sharpe ratio in asset portfolio management. Based on the principle of diversified investment, further explorated DOWD(199BF9)s BFQconclusion, we expended the number of assets from 1 to n. At last,under certain condition,we used the simulated data and discussed the “optimal”n.