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Dolati, Ali, Mousavi, Samane Al-sadat, Dastbaravarde, Ali. (1402). A Copula-based estimator for the Sharpe Ratio of a two-asset portfolio. سامانه مدیریت نشریات علمی, 2(1), 219-248. doi: 10.22054/jdsm.2024.77878.1041
Ali Dolati; Samane Al-sadat Mousavi; Ali Dastbaravarde. "A Copula-based estimator for the Sharpe Ratio of a two-asset portfolio". سامانه مدیریت نشریات علمی, 2, 1, 1402, 219-248. doi: 10.22054/jdsm.2024.77878.1041
Dolati, Ali, Mousavi, Samane Al-sadat, Dastbaravarde, Ali. (1402). 'A Copula-based estimator for the Sharpe Ratio of a two-asset portfolio', سامانه مدیریت نشریات علمی, 2(1), pp. 219-248. doi: 10.22054/jdsm.2024.77878.1041
Dolati, Ali, Mousavi, Samane Al-sadat, Dastbaravarde, Ali. A Copula-based estimator for the Sharpe Ratio of a two-asset portfolio. سامانه مدیریت نشریات علمی, 1402; 2(1): 219-248. doi: 10.22054/jdsm.2024.77878.1041

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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