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标题: CP and Sharp Ratio adding of AI [打印本页]

作者: DarienHacker 时间: 2011-7-13 15:25 标题: CP and Sharp Ratio adding of AI

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.

作者: bpdulog 时间: 2011-7-13 15:25

I picked - do not add

作者: IAmNeil 时间: 2011-7-13 15:25

I also picked do not add... this was L2 stuff. I kinda guessed.

作者: Roflnadal 时间: 2011-7-13 15:25

I blanked out on the Sharp Rule and then had to go back to my L2 neurons to seek some help.

作者: Analti_Calte 时间: 2011-7-13 15:25

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.

作者: bodhisattva 时间: 2011-7-13 15:25

Halberstram Wrote:
-------------------------------------------------------
> .33>.26

+1

作者: thommo77 时间: 2011-7-13 15:25

-1

I did the other way round..

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

作者: wake2000 时间: 2011-7-13 15:25

i added as sharpe of new> sharpe portfolio x correlation

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