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revised How to define the objective function for a custom optimization problem?
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Sep
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answered How to define the objective function for a custom optimization problem?
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Aug
23
comment Is this a common variation of sharpe ratio?
@Freddy btw, I don't disagree with your answer in fact I +1'd it -- I think there are some other dimensions to bring out that's all. Cheers
Aug
23
comment Is this a common variation of sharpe ratio?
@Freddy - Most of the critiques against the Sharpe nature are statistical in nature. True they apply to other measures but it seems an answer to the question. On Point 7: Most investors do not have mean-variance utility functions (see Prospect theory and Behavioral finance literature). On point 2, at higher intervals intra-month or intra-period volatility is drowned out. Monthly vol measurements miss entirely episodes such as Aug 2007 quant meltdown, flash crash, etc. There are scenarios where daily Sharpe can be > monthly sharpe but it isn't usually the case.
Aug
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revised Is this a common variation of sharpe ratio?
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revised Is this a common variation of sharpe ratio?
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revised Is this a common variation of sharpe ratio?
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revised Is this a common variation of sharpe ratio?
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Aug
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comment Is this a common variation of sharpe ratio?
@John - I like your point as an add'l new point (added). I should clarify my point to say that the comparability of the statistic across strategies assumes the joint normally distributed returns.
Aug
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revised Is this a common variation of sharpe ratio?
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revised Is this a common variation of sharpe ratio?
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answered Is this a common variation of sharpe ratio?
Aug
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accepted Implied forward rates puzzle
Aug
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comment Using rolling returns in a multivariate linear regression?
Incidentally, you have stumbled upon one of the skeletons in the closet for the Fama-French type multiple regression techniques. Many academic papers suffer from exactly the issue you describe (autocorrelated residuals) but it's simply not discussed.
Aug
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revised How do you mix quantitative asset allocation with qualitative views?
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revised How do you mix quantitative asset allocation with qualitative views?
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