МАКСИМІЗАЦІЯ ВІДНОШЕННЯ ШАРПА ПОРТФЕЛЯ ФІНАНСОВИХ АКТИВІВ У КОНТЕКСТІ МІНІМІЗАЦІЇ РИЗИКУ
MAXIMIZATION OF THE SHARPE RATIO OF AN ASSET PORTFOLIO IN THE CONTEXT OF RISK MINIMIZATION

Summary/Abstract: The authors investigate the problem of optimal portfolio selection based on the Sharpe ratio of portfolio maximizing by usage the principle of Value-at-Risk minimization. We derive the confidence level for the Value-at-Risk under which the portfolio with the maximum Sharpe ratio coincides with the portfolio that minimizes the Value-at-Risk. Using historical data of five monthly MSCI indices, it is shown that the sample estimator of this confidence level is very accurate even for a small sample size (n=60), and it sufficiently quickly converges to the true value as the sample size increases. Finally, we prove that the problem of the Sharpe ratio maximizing in practice can be replaced by more universal one, which is the Value-at-Risk minimizing.

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