The PortScenSharpeR.lng Model

Maximize the Sharpe ratio of a portfolio

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Maximize the Sharpe ratio of a portfolio, using the scenario approach for describing randomness.
A portfolio has a high Sharpe ratio if its expected return is high relative to the the risk free rate, but also has a low standard deviation.
The Sharpe ratio is:
( Avg return of portfolio - Risk free rate)/(SD of portfolio);

Keywords:

Portfolio Selection | Scenario Method | Sharpe Ratio |