Bootstrap Estimate And Test The Difference Of Sharpe Ratios Between Two Populations Of Portfolio

With the rapid development of world economy , it is more and more important that the theory and practice in portfolio selection should be studied. Markowitz's portfolio selection model has been the basic theory, and it has been researched by many people since 1952. Sharpe Ratio founded by Sharpe in 1967 has provided criterion index for evaluating the efficiency of financial asset. The sufficient and necessary conditions of the optimal portfolio and optimal solution for the Sharpe Ratio without short selling have been studied well. All above researches were based on unique population, but in investment, investors always have to confront the selection between several investment populations. For the two different investment populations, how should we judge whether the two maximum profits equal or not, and how to choose the better one? The paper makes use of Sharpe Ratio and Bootstrap method to estimate and test the differences of Sharpe Ratios between two Populations of Portfolio which can help the investors select better choice to gain more returns.The paper concludes that the inventors could choose the investment plan bringing Bootstrap method to evaluate the investment difference when they make choice to two different investments.