Sharpe Ratio can be turned into a convex function. And information ratio as well.
Supppose I add these ratios as follows:
(SR + 3 IR ) / 2
Can this function transfer into convex?
How should I do it?
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$\begingroup$ math.stackexchange.com/questions/1370235/… $\endgroup$– Attack68 ♦Commented May 17 at 5:29
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$\begingroup$ I want to find its solution. How can reformat its in convex. Not proofing its convex $\endgroup$– andyCommented May 17 at 5:35
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$\begingroup$ You stated that you can transform Sharpe ratio and information into convex form individually. So if you do that with both of them and add them together linearly the result will be convex by the above link. $\endgroup$– Attack68 ♦Commented May 17 at 6:27
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$\begingroup$ Okay i get your point. I track whole problem in one function. I expand the equation and reformat into convex way $\endgroup$– andyCommented May 17 at 10:48
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$\begingroup$ I am trying to expand the denominator for sr and ir. And then i do the homogenizing. $\endgroup$– andyCommented May 18 at 6:14
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