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arXiv 1802.04413q-fin.PMq-fin.RM
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什么是夏普比率,每个人怎么会弄错呢?

What is the Sharpe Ratio, and how can everyone get it wrong?

Igor Rivin

摘要:

夏普比率是量化金融界使用最广泛的风险度量标准--令人惊讶的是,基本上每个人都会错。在本说明中,我们将作出不切实际的努力来纠正这种情况。

英文摘要:

The Sharpe ratio is the most widely used risk metric in the quantitative finance community - amazingly, essentially everyone gets it wrong. In this note, we will make a quixotic effort to rectify the situation.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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