Seung-Jean Kim

Nonparametric Sharpe Ratio Function Estimation in Heteroscedastic Regression Models via Convex Optimization

We consider maximum likelihood estimation (MLE) of heteroscedastic regression models based on a new “parametrization” of the likelihood in terms of the Sharpe ratio function, or the ratio of the mean and volatility functions. While with a standard parametrization the MLE problem is not convex and he…