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- 2011-7-11
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- 2013-9-29
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in the solution , it said that reduction of the forecast alpha by a factor of 0.3 improve in the squared sharpe ratio by 0.3^2=0.09
if based on solution, S=0.3495 drops compare to before reduction by 0.3
I don't see why it improve the sharpe ratio... Thanks. |
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发表于 2011-7-11 19:25
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