Performance of the Sharpe Portfolio Selection Model: A Comparison

In this paper, the Markowitz and Sharpe portfolio selection approaches are viewed as alternative analytic processes for portfolio selection. By “analytic process,” we mean a process that begins with data collection and culminates when a decision is made. The properties of these analytic processes ar...

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Bibliographic Details
Published in:Journal of financial and quantitative analysis 1976-06, Vol.11 (2), p.195-204
Main Authors: Frankfurter, George M., Phillips, Herbert E., Seagle, John P.
Format: Article
Language:English
Subjects:
Analytics
Estimators
Estimators for the mean
Experimentation
Financial portfolios
Modeling
Portfolio investments
Portfolio management
Quantitative analysis
Securities returns
Security portfolios
Statistical discrepancies
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Summary:In this paper, the Markowitz and Sharpe portfolio selection approaches are viewed as alternative analytic processes for portfolio selection. By “analytic process,” we mean a process that begins with data collection and culminates when a decision is made. The properties of these analytic processes are examined in the same sense that one studies the properties of a statistical estimator, except that a global view of the analytic process is taken. The properties of decisions that result from applications of these processes are studied experimentally, and are reported in terms of the objectives of the portfolio manager.
ISSN:0022-1090
1756-6916
DOI:10.2307/2979049