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- 2013-8-18
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if we know the tangency portfolio’s sharpe ratio, (E(T)-r f )/sigma T, and we know a portfolio’s sigma P, can we calculate: sigma P * Sharpe ratio T + r f = E(P)?
sorry for the formulas…my question is whether the tangency portfolio’s sharpe ratio can be used as a measure of reward to extra unit of risk, and can be used to calculate portfolio return. |
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发表于 2013-4-10 17:50
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