?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F571%2F&rft.title=Portfolio+Optimization&rft.creator=Tsuil%2C+L.+K.&rft.creator=Chadam%2C+J.&rft.subject=Finance&rft.description=Two+strategies+are+devised+to+maximize+the+Sharpe+ratio+of+a+portfolio%0D%0Aconsisting+of+35+risky+assets.+The+first+one+uses+periodically+updated+optimal+weights+from+standard+Markowitz%2FSharpe+portfolio+theory.+The+second+strategy+removes+a+fixed+number+of+assets+that+have+highest+positive+correlation+with+the+rest+of+the+portfolio.+Both+approaches+perform+better+(have+larger+Sharpe+ratio)+than+the+existing+strategies.&rft.date=2008&rft.type=Study+Group+Report&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F571%2F1%2F4.pdf&rft.identifier=++Tsuil%2C+L.+K.+and+Chadam%2C+J.++(2008)+Portfolio+Optimization.++%5BStudy+Group+Report%5D+++++