Tag Info

New answers tagged

0

It is not completely clear to me which question you are asking: is it I have fundamental data, now how do I translate that into risk-adjusted return? or is it I have a model that translates into risk adjusted returns, now how do I allocate funds to each currency pair? If you are asking the first question, you will need to provide more ...


1

Its Chi-Square distribution ($k=$ number of portfolio assets): http://en.wikipedia.org/wiki/Chi-squared_distribution#Definition


0

Yes. It is a simple transformation of the product of the Gaussians from the Cartesian to the hyper-spherical coordinate.


0

Well, you need to calculate the expected return of your portfolio, and the volatility. Taking into account that your weights are 100% long in A, 100% short in B: $$ E(r)_A-E(r)_B $$ Same for the volatility of the portfolio. Then just calculate the Sharpe ratio: $$ \frac{E(r)_{portf}-E(r)_{rf}}{Volatility_{portf}} $$



Top 50 recent answers are included