The large-sample distribution of the maximum Sharpe ratio with and without short sales
允许与禁止卖空时最大夏普比率的大样本分布
In the Markowitz paradigm the portfolio having maximum Sharpe ratio is optimal. Previously the large sample distribution of this statistic has been calculated when short sales are allowed and sample returns and covariance matrix are asymptotically normally distributed. This paper considers the more complex situation when short sales are not allowed, and provides conditions under which the maximum Sharpe ratio is asymptotically normal. This is not always the case, as we show,…