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.作者: MiniMe7 时间: 2011-7-11 19:25
worked on that problem last night and can't answer question.
however, if the book says we're not responsible for memorizing or deriving the formulas on section 4 - 6, what out of that cobweb of material should we know?
