Hello AO,
Taking MFE next wednesday, and I just started using ADAPT. Wondering if any of you guys could explain a problem that I encountered.
Please see attached. The solution uses Sharpe Ratio Equivalence and sets "a" = (Alpha_x - delta_x - .5sigma^2). I've always been used to seeing a = (alpha_x - delta_x). Wondering if the discrepancy is chalked up to the process being an ABM instead of a GBM (Are those ABMs)?
http://ift.tt/1tPCil7
Thanks!
:kiss:
Taking MFE next wednesday, and I just started using ADAPT. Wondering if any of you guys could explain a problem that I encountered.
Please see attached. The solution uses Sharpe Ratio Equivalence and sets "a" = (Alpha_x - delta_x - .5sigma^2). I've always been used to seeing a = (alpha_x - delta_x). Wondering if the discrepancy is chalked up to the process being an ABM instead of a GBM (Are those ABMs)?
http://ift.tt/1tPCil7
Thanks!
:kiss:
ABMs in Sharpe Ratio Equivalence
