Data · dataset · 2026
Sharpe ratio and the Inverse Coefficient of Variation in the Markowitz Portfolio
Listed in Teesside University Research Data Repository
In classical Markowitz portfolio analysis, assets with a correlation coefficient close to 0 are usually used to construct an investment portfolio.
Description
Monthly, weekly, or daily data are also utilized. The author’s trading experience in the Forex market suggests that a more efficient Markowitz portfolio can be constructed using a time frame of 15 minutes.
This is also possible when assets are selected for the portfolio using the Sharpe ratio and/or the inverse coefficient of variation (ICV). This study aims to test the efficiency of such portfolios. To achieve the aim of the study, 20 currency pairs in the Forex market were analysed, from which all possible portfolios of two assets were created according to the Markowitz concept.
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The study was conducted in the Forex market over one trading week using a time frame of 15 minutes at 29 different time points (hours selected at random across the whole week). In total, 5,510 portfolios of two assets were created and analysed.
Links
Where it is published
- DOI doi.org/10.17632/54zffp535h.2 ↗
DOI / persistent id · from researchdata tees ac uk
Catalogue records · 1
- OAI-PMH record data.mendeley.com/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai%3Adata… ↗
metadata API · from researchdata tees ac uk
Topics
- From keywords
- Earth & Environmental Science
Provenance · 1 source records, 5 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| Teesside University Research Data Repository | oai:data.mendeley.com/54zffp535h.2 | 18 h ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
| concepts[field].local:field:earth-environmental | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| description | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/description |
| license_text | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| publication_date | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| title | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/title |