One of the oldest and the most popular measure of the performance of a portfolio in assets allocation is the Sharpe ratio. This ratio is sensitive for window of the selected sample. A common approach in portfolio evaluation is calculation one-period investment Sharpe ratio [Levy, 1072, s. 647]. It is suggested in the literature that for n-period investment scaling factor should be taken into account, but in empirical analysis researchers and experts usually calculate only the one-period Sharpe ratio [Kim, In, 2005, s. 106]. The portfolio managers make decisions over different time periods and especially they concentrate on the performance at the end of the clearing period. So the problem is how to create the performance measure resist from above restrictions.

The starting point in applied methodology is the classical Sharpe ratio, defined as the level of the expected excess return of portfolio per unit of risk associated with portfolio. Then wavelet analysis is suggested, in terms of wavelet and scaling filters. Such approach allows to decompose the unconditional variance into different time scale, which means different sample windows. The advantage of the approach is possibility of analysis of the non-normally distributed portfolio returns and non-stationary series [Bruzda, 2003, s. 232].

1. FULLTEXT: Portfolio performance based on the multihorizon Sharpe ratio - wavelet analysis approach, Zip archive data, at least v2.0 to extract, 0.1MB

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