What is the Sharpe Ratio, and how can everyone get it wrong?

Igor Rivin

Papers from arXiv.org

Abstract: The Sharpe ratio is the most widely used risk metric in the quantitative finance community - amazingly, essentially everyone gets it wrong. In this note, we will make a quixotic effort to rectify the situation.

Date: 2018-02
New Economics Papers: this item is included in nep-rmg
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