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seen Nov 18 '11 at 20:23

Nov
1
comment What is the difference between STOXX and STOXXE?
I am not sure about the pan euro stocks, can you explain?
Nov
1
comment What is the difference between STOXX and STOXXE?
Tal, let's say .stoxx and .stoxxe, two rics from reuters.com
Oct
28
comment How to annualize Sharpe Ratio?
Thanks, Tal. I think the assumption 1 should be the returns are IID.
Oct
28
comment How to annualize Sharpe Ratio?
Got it. Thanks.
Oct
28
comment How to annualize Sharpe Ratio?
Hi Patrick, that's exactly what I have thought about. But why the annualized standard deviation should be sqrt(252) times its daily value. My calculation is stdev(252r)=252*stdev(r).