上一主题:CFAI BK.1, RD13, Q6
下一主题:POs IOs
返回列表 发帖

Portfolio mgmt: R69: Q3

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.

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?

- Robert

TOP

The general steps involved, I'd guess.

TOP

返回列表
上一主题:CFAI BK.1, RD13, Q6
下一主题:POs IOs