Maximizing the Sharpe Ratio, June 2009
2009
In this paper we introduce a new feature of the Barra Optimizer: the ability to maximize the Sharpe Ratio (SR) and the Information Ratio (IR). We discuss the portfolio optimization problems that focus on SR and IR, their properties and relationship to the standard mean-variance portfolio optimization problem, and the methods the Barra Optimizer utilizes to solve them.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
2
References
1
Citations
NaN
KQI