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Optimal portfolio choice using the maximum Sharpe ratio
Maller, Ross A.; Durand, Robert B.; Jafarpour, Hediah - In: Journal of risk 12 (2009/10) 4, pp. 49-73
Persistent link: https://www.econbiz.de/10003995406
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On the performance of the minimum VAR portfolio
Durand, Robert B.; Gould, John; Maller, Ross A. - In: The European journal of finance 17 (2011) 7/8, pp. 553-576
Persistent link: https://www.econbiz.de/10009509846
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The large-sample distribution of the maximum Sharpe ratio with and without short sales
Maller, Ross A.; Roberts, Steven; Tourky, Rabee - In: Journal of econometrics 194 (2016) 1, pp. 138-152
Persistent link: https://www.econbiz.de/10011705073