Akuzawa, Toshinao; Nishiyama, Yoshihiko - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 335-357
We propose a criterion for portfolio selection, implied excess Sharpe ratio. The implied excess Sharpe ratio is … intended as an excess Sharpe ratio (versus the underlying stock) that investors can expect to enjoy from portfolios that … options in a portfolio, but we theoretically show that the combination that produces the largest implied excess Sharpe ratio …