Wang, Yiqian and Yang, Nan Yang and Zhao, Qianwei (2023) Application of Monte Carlo Simulation in Calculating the Maximum Sharpe Ratio Based on American Funds. In: Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China.
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Abstract
Markowitz's portfolio theory has been widely used and confirmed in practice. Most rational models of portfolio choice suggest that investors hold diversified portfolios to reduce or eliminate the non-compensated risk, thus getting a higher Sharpe ratio. Based on the data including the daily return r
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 16:02 |
| Last Modified: | 17 Apr 2026 03:48 |
| URI: | http://eprints.eai.eu/id/eprint/41969 |
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