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A Copula-based estimator for the Sharpe Ratio of a two-asset portfolio | ||
| Journal of Data Science and Modeling | ||
| دوره 2، شماره 1 - شماره پیاپی 3، اسفند 2023، صفحه 219-248 اصل مقاله (419.07 K) | ||
| نوع مقاله: original | ||
| شناسه دیجیتال (DOI): 10.22054/jdsm.2024.77878.1041 | ||
| نویسندگان | ||
| Ali Dolati* 1؛ Samane Al-sadat Mousavi2؛ Ali Dastbaravarde3 | ||
| 1ِDepartment of Statistics, Yazd University | ||
| 2Department of Statistics | ||
| 3Department of Statistics, Yazd Universit | ||
| چکیده | ||
| Performance measures are essential for evaluating portfolio performance in the risk management and fund industries, with the Sharpe ratio being a widely adopted risk-adjusted metric. This ratio compares the excess expected return to its standard deviation, enabling investors to assess the returns of risk-taking activities against risk-free options. Its popularity stems from its ease of calculation and straightforward interpretation. However, the actual Sharpe ratio value is often unavailable and must be estimated empirically based on the assumption of normality of asset returns. In practice, financial assets typically exhibit non-normal distributions and nonlinear dependencies, which can compromise the accuracy of the Sharpe ratio estimation when normality is assumed. This paper challenges the normality assumption, aiming to enhance the accuracy of Sharpe ratio estimates. We investigate the impact of dependency on the Sharpe ratio of a two-asset portfolio using copulas. Theoretical findings and extensive simulations demonstrate the effectiveness of the proposed copula-based approach to the classic Sharpe ratio. | ||
| کلیدواژهها | ||
| Copula؛ Dependence؛ Portfolio؛ Risk-adjusted measure؛ Sharpe ratio | ||
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آمار تعداد مشاهده مقاله: 161 تعداد دریافت فایل اصل مقاله: 195 |
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