2020/05/13 by Steven E. Pav, Pav, Steven E.
Economics, Econometrics and Finance · #91G10 #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #G.3 #Methodology (stat.ME) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2005.06171
openalex publication_date 2020/05/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We describe a procedure to perform approximate inference on the achieved signal-noise ratio of the Markowitz Portfolio under Gaussian i.i.d. returns. The procedure relies on a statistic similar to the Sharpe Ratio Information Criterion. Testing indicates the procedure is somewhat conservative, but otherwise works well for reasonable values of sample and asset universe sizes. We adapt the procedure to deal with generalizations of the portfolio optimization problem.