Maximizing the Sharpe Ratio and Information Ratio in Barra Optimizer

Jun 1, 2009

In this paper we introduce a new feature of the Barra Optimizer -- the ability to maximize the Sharpe Ratio (SR) and the Information Ratio (IR).  We discuss the portfolio optimization problems that focus on SR and IR, their properties and relationship to the standard mean-variance portfolio optimization problem, and the methods the Barra Optimizer utilizes to solve them.