登入選單

返回Google圖書搜尋

Notes on Fano Ratio and Portfolio Optimization

Zura Kakushadze

出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=8Uj7zgEACAAJ&hl=&source=gbs_api

註釋

We discuss - in what is intended to be a pedagogical fashion - generalized "mean-to-risk" ratios for portfolio optimization. The Sharpe ratio is only one example of such generalized "mean-to-risk" ratios. Another example is what we term the Fano ratio (which, unlike the Sharpe ratio, is independent of the time horizon). Thus, for long-only portfolios optimizing the Fano ratio generally results in a more diversified and less skewed portfolio (compared with optimizing the Sharpe ratio). We give an explicit algorithm for such optimization. We also discuss (Fano-ratio-inspired) long-short strategies that outperform those based on optimizing the Sharpe ratio in our backtests.