Inference on Achieved Signal Noise Ratio
Methodology
2020-05-19 v2 Portfolio Management
Abstract
We describe a procedure to perform approximate inference on the achieved signal-noise ratio of the Markowitz Portfolio under Gaussian i.i.d. returns. The procedure relies on a statistic similar to the Sharpe Ratio Information Criterion. Testing indicates the procedure is somewhat conservative, but otherwise works well for reasonable values of sample and asset universe sizes. We adapt the procedure to deal with generalizations of the portfolio optimization problem.
Keywords
Cite
@article{arxiv.2005.06171,
title = {Inference on Achieved Signal Noise Ratio},
author = {Steven E. Pav},
journal= {arXiv preprint arXiv:2005.06171},
year = {2020}
}
Comments
v2 adds analysis for hedged portfolios