What is the Sharpe Ratio, and how can everyone get it wrong?
Portfolio Management
2018-02-14 v1 Risk Management
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.
Cite
@article{arxiv.1802.04413,
title = {What is the Sharpe Ratio, and how can everyone get it wrong?},
author = {Igor Rivin},
journal= {arXiv preprint arXiv:1802.04413},
year = {2018}
}
Comments
Four pages