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...

Traditional measures of assessment of mutual fund performance (alpha) are based mostly on Capital Assets Pricing Model which presupposes fixed sensitivity of risk exposure of a fund to its market proxy (beta). However, changing economic conditions will alter this relationship. In conditional...