SeanWest

Sharpe ratio is return/risk, since the market portfolio is the most superior portfolio in an efficent market i.e. it has the lowest risk for a given return, all other portfolios have either a lower return for the same risk, or a higher risk for the same return, so the market portfolio will have the highest sharpe, hope this helps



Edited 1 time(s). Last edit at Monday, May 2, 2011 at 01:41PM by pedpenny.