Performance of the Sharpe Portfolio Selection Model: A Comparison

Abstract

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.