Kapie

While everybody seems to 'interpret' sharpe ratio, nobody has answered the fundamental question - why market portfolio has the highest sharpe ratio!

Here are some additional thoughts:

1. There are infinite number of portfolios with the same Sharpe ratio as the market porfolio.
2. These portfolios all have market portfolio in them

What are these portfolios? To fundamentally understand this - ask yourself, what is 'market' portfolio?

Anybody wanna try?