Portfolio Analysis / Mean-Variance
Sharpe Ratio
Compute the Sharpe ratio of a portfolio.
References
- Harry M. Markowitz, Portfolio Selection, Efficient Diversification of Investments, Second edition, Blackwell Publishers Inc.
- Sharpe, W. (1994) The Sharpe Ratio. Journal of Portfolio Management, 21, 49-58
post/portfolios/analysis/mean-variance/sharpe-ratio
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Response
OK