Fractional Growth Portfolio Investment
Brockwell (2021) studies portfolio optimization in equities. The abstract mentions a Sharpe ratio but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We elucidate a coherent continuous-parameter time-series framework for analysis of these portfolios, explaining relationships between Sharpe ratios, growth rates, and leverage.”
AssetEquitiesbonds
StrategyPortfolio optimization
ClaimSharpe ratio
InputsFundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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