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  • Search: subject:"Excess Sharpe ratio"
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Excess Sharpe ratio 1 Option 1 Portfolio selection 1 Stock lending fee 1
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Akuzawa, Toshinao 1 Nishiyama, Yoshihiko 1
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The North American Journal of Economics and Finance 1
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Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options
Akuzawa, Toshinao; Nishiyama, Yoshihiko - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 335-357
We propose a criterion for portfolio selection, implied excess Sharpe ratio. The implied excess Sharpe ratio is … intended as an excess Sharpe ratio (versus the underlying stock) that investors can expect to enjoy from portfolios that … options in a portfolio, but we theoretically show that the combination that produces the largest implied excess Sharpe ratio …
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