adding rf to portfolio decrease or no change sharp/safety fi
if we add a the Risk free asset to porfolio , does it increase/decrese or no change to the sharp ratio of the portfolio?
the answer is no change, but I don’t agree. say old portfolio return is 5%, add 10 % Rf, 90%*5+10%*rf will be different with original portfloio return, so it will change original sharp and safety first ratio. |