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Hellstr, T. (2001) Optimizing the Sharpe Ratio for a Rank Based Trading System. Progress in Artificial Intelligence, Knowledge Extraction, Multi-Agent Systems, Logic Programming and Constraint Solving, 10th Portuguese Conference on Artificial Intelligence, EPIA 2001, Porto, 17-20 December 2001, 1-13.
https://doi.org/10.1007/3-540-45329-6_16

has been cited by the following article:

• TITLE: The Sharpe Ratio’s Upper Bound of the Portfolios in the Presence of a Benchmark: Application to the US Financial Market

  AUTHORS: Jiang Ye, Yiwei Wang, Muhammad Wajid Raza

  KEYWORDS: Sharpe Ratio, Mean-Variance Efficient Portfolio, Correlation Constraint, Copula Constraint

  JOURNAL NAME: Journal of Mathematical Finance, Vol.12 No.3, August 25, 2022

  ABSTRACT: [1] analyzed the performance of Madoff’s investment strategy using the Sharpe ratio. Going a further step, [2] calculated the upper bound of the Sharpe ratio given different conditions. The upper bound is the maximum of the Sharpe ratio that a portfolio can realize. The US financial market is one of the well developed and diversified market across the globe. Significant numbers of funds are based on the broader market index and its derivatives. In this article, the upper bound of the Sharpe ratio for the portfolio depending on the broader index is calculated. The upper bound estimated in this study will help investors and regulators in US and across the globe in general to evaluate the Sharpe ratio with caution and identify investment vehicles that are promising fictitious returns.