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August 19, 2025Highlights in Business Economics and ManagementOpen Access

Quantitative Empirical Research on Portfolio Optimization Based on Sharpe Ratio and Market Index

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ZZZ. X. Zhang

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Overview

Quantitative analysis reveals that market indices significantly outperform Sharpe ratio-optimized portfolios, suggesting a preference for market-driven strategies.

Key Points

  • Sharpe ratio-optimized portfolios underperformed against broad market indices in cumulative return analysis.
  • Market benchmarks provided better performance metrics, highlighting a potential bias against mathematical model-driven strategies.
  • Quantitative empirical methods were employed to assess the effectiveness of different investment approaches across diverse industries.
  • This research supports the need for re-evaluating investment strategies favoring market experience over mathematical models.

Cite This Study

Z. X. Zhang (2025) studied this question.

synapsesocial.com/papers/68af521fad7bf08b1ead9d57https://doi.org/10.54097/3ywfab90
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  1. 1Bayesian Optimization and Monte Carlo Simulation in Technology Sector Portfolio Allocation: A Comparative Analysis Using the Sharpe Ratio2024
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  5. 5Maximizing the Out-of-Sample Sharpe Ratio2026 · 8 citations