Luis Chavez-BedoyaJohn R. Birge2024-09-202024-09-202024-07-261544-6123https://doi.org/10.1016/j.frl.2024.105886https://cris.esan.edu.pe/handle/20.500.12640/355This paper studies the out-of-sample Sharpe ratio of an unconstrained portfolio that combines the global minimum-variance with a hedge portfolio. Furthermore, we investigate how this ratio behaves as the number of risky assets and observations approaches infinity while maintaining a constant ratio. Under these conditions, it becomes possible to simultaneously account for estimation risk and achieve analytical tractability when optimizing the out-of-sample Sharpe ratio. This analysis also provides valuable insights to enhance out-of-sample performance in the finite case by introducing additional deterministic factors to the portfolio components.Limiting out-of-sample performance of optimal unconstrained portfoliosArtÃculo de revistahttp://purl.org/coar/access_right/c_abf2