Maple Worksheet: Optimising Asset Allocation by Maximising the Sharpe Ratio
File Size 0.09 mb
The Sharpe ratio quantifies how effectively a portfolio of risky assets utilises risk to maximise return. It is defined as the effective return per unit of risk. The expected portfolio return is predicted from historic data, and the standard deviation of the asset mix is traditionally used as a proxy for risk (or volatility). A higher Sharpe Ratio essentially signifies a more risk efficient portfolio. This application calculates the optimum asset mix for a portfolio of stocks by maximising its Sharpe ratio. This file contains a Maple worksheet and a HTML conversion.
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