A relevância geral do Índice de Sharpe

Abstract

The relevance of the Sharpe Ratio for portfolio selection has been examined in the context of "adding strategy" considering an investor with an existing portfolio who wants to rebalance his or her portfolio by adding zero investment swaps. The relevance of the Sharpe Ratio in special cases of adding strategy has been shown but its relevance in the general adding strategy problem - adding a portfolio of zero investment swaps correlated among themselves and correlated with the existing portfolio - remains unclear because the ratio does not include information about the correlation of its return with that of the existing portfolio. This paper will solve the general adding strategy problem. The relevance of the Sharpe Ratio in the general case is then formally shown.