标题: Sharpe ratio question [打印本页] 作者: kasinkei 时间: 2013-4-10 17:50 标题: Sharpe ratio question
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.
