Sharpe-Ratio Portfolio in Controllable Markov Chains: Analytic and Algorithmic Approach for Second Order Cone Programming
The Sharpe ratio is a measure based on the theory of mean variance, it is the measure of the performance of a portfolio when the risk can be measured through the standard deviation. This paper suggests a Sharpe-ratio portfolio solution using a second order cone programming (SOCP). We use the penalty...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-09-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/18/3221 |