This paper aims to develop a feasible estimator of the Sharpe ratio that the investor would expect from estimated efficient portfolios. Based on the analytical expression of the expected Sharpe ratio, we construct an estimator that captures all the errors involved in the estimated efficient...

This paper addresses the estimation issue that exists when estimating the traditional mean-variance portfolio. More precisely, the efficient mean-variance is estimated by a double regularization. These regularization techniques namely the ridge, the spectral cut-off, and Landweber-Fridman...

Introduction -- 1. Investing 1.0 — Blind Faith and Speculation -- 2. Investing 2.0 — Intrinsic Value -- 3. Investing 3.0 — Measuring Risk -- 4. Investing 4.0 — Efficient Markets and Indexing -- 5. Investing 5.0 — Factor Models and Algorithms -- 6. Investing 6.0 — Real Value and Real...