Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5091675 | Journal of Banking & Finance | 2005 | 5 Pages |
Abstract
This comment discusses some errors in [Journal of Banking and Finance 25 (2001) 1789]. Given the portfolio rate of return is normally distributed, the following can be inferred. First, taking expected portfolio return rate as the benchmark of value-at-risk (VaR), the risk-return ratio collapses to a multiple of the Sharpe index. However, using risk-free rate as the benchmark, then above inference does not hold. Second, whether the benchmark of VaR is expected portfolio return rate or the risk-free rate, the optimal asset allocations for maximizing the risk-return ratio and Sharpe index are identical.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Hung-Hsi Huang,