Maximizing the Out-of-Sample Sharpe Ratio

Nathan Lassance
Nathan Lassance
[email protected]
https://orcid.org/0000-0001-6241-2965
Louvain Finance, Louvain Institute of Data Analysis and Modeling, UCLouvain, 1348 Louvain-la-Neuve, Belgium
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Nathan Lassance

Nathan Lassance

[email protected]

https://orcid.org/0000-0001-6241-2965

Louvain Finance, Louvain Institute of Data Analysis and Modeling, UCLouvain, 1348 Louvain-la-Neuve, Belgium

Search for more papers by this author

Published Online:1 Sep 2026https://doi.org/10.1287/opre.2025.2500

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cover image Operations Research

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Received:November 24, 2025
Accepted:August 07, 2026
Published Online:September 01, 2026

Copyright © 2026, INFORMS

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Nathan Lassance (2026) Maximizing the Out-of-Sample Sharpe Ratio. Operations Research 0(0).

https://doi.org/10.1287/opre.2025.2500

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Acknowledgments

The author thanks Victor DeMiguel, Raymond Kan, Felix Kircher, Alberto Martín-Utrera, Majeed Simaan, Xiaolu Wang, and Guofu Zhou for feedback.