The PORTFOLIO_SHARPE.xls Model

Sharpe Ratio Model

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Given the expected return for each candidate investment, and the covariance matrix for the actual returns, and a target desired return, and an amount to be invested, typically $1, Decide how much to invest in each candidate so as to Maximize the ratio of (portfolio_expected_return - risk_free_rate)/(s.d._in_portfolio_return), subject to investing the budget.

Keywords:

Portfolio | Markowitz | Sharpe Ratio | Risk Free Rate |