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DarienHacker

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tT
发表于 2011-7-13 15:25 | 只看该作者

CP and Sharp Ratio adding of AI

joker, 2010
0.75 and 0.25 for the weights and add the HY bond as SR> than SR of CP X CORR.



Edited 1 time(s). Last edit at Monday, June 7, 2010 at 05:00PM by joker.
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bpdulog

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2#
发表于 2011-7-13 15:25 | 只看该作者
I picked - do not add

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IAmNeil

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3#
发表于 2011-7-13 15:25 | 只看该作者
I also picked do not add... this was L2 stuff. I kinda guessed.

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Roflnadal

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4#
发表于 2011-7-13 15:25 | 只看该作者
I blanked out on the Sharp Rule and then had to go back to my L2 neurons to seek some help.

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Analti_Calte

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5#
发表于 2011-7-13 15:25 | 只看该作者
Yes I think it was add....SR of new asset was higher than the SR of the port x corr. SR of port was given in the Q so didnt have to work it out.

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bodhisattva

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6#
发表于 2011-7-13 15:25 | 只看该作者
Halberstram Wrote:
-------------------------------------------------------
> .33>.26


+1

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thommo77

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7#
发表于 2011-7-13 15:25 | 只看该作者
-1

I did the other way round..

Compared --- (Sharpe of current) with ( Sharpe of New * Correlation new )

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wake2000

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8#
发表于 2011-7-13 15:25 | 只看该作者
i added as sharpe of new> sharpe portfolio x correlation

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