March 2010
Intermediate to advanced
238 pages
5h 59m
English
Content preview from Portfolio Optimization
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Sec. 9.2 Kinks and Sharpe R atios 201
≤
≤
↓
≥
µ
σ
Figure 9.1 Example 9.2: Kink in Mean-Variance Space.
≤
≤
↓
≥
µ
σ
Figure 9.2 Example 9.2: Kink in Mean-Standard Deviation Space.
202 Sharpe Rat io s Under Constraints and Kinks Chap. 9
TABLE 9.1 Piecewise Linear, Optimal Solution for Example 9.2
and Associated Efficient Frontier Parameters
j 0 1 2 3
t
j
0 0.33 0.65 1.15
K
j
{5, 2} {5, 2, 4} {5, 4} {5, 4, 3}
h
00
h
01
h
02
h
03
0.5625 0.1500 0.1500 0.1500
h
0j
0.2500 0.2500 0.5100 0.0500
0.1875 0.6000 0.3400 0.8000
h
10
h
11
h
12
h
13
−1.2500 0.0 0.0 0.0
h
1j
0.0 0.0 −0.400 0.0
1.2500 0.0 0.400
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