Establishing the risk denominator in a Sharpe ratio framework for share selection from a momentum investment strategy approach
Background: Based on the static mean-variance portfolio optimisation theory, investors will choose the portfolio with the highest Sharpe ratio to achieve a higher expected utility. However, the traditional Sharpe ratio only accounts for the first two moments of return distributions, which can lead t...
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| Format: | Article |
| Language: | English |
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AOSIS
2020-08-01
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| Series: | South African Journal of Economic and Management Sciences |
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| Online Access: | https://sajems.org/index.php/sajems/article/view/3467 |