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Results tagged with sharpe-ratio
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user 47081
Excess return per unit of deviation in return.
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Why does the mean term have a higher effect than the covariance term in MV optimization? [closed]
I am trying to use the mean-variance (MV) optimization framework. When I change the mean term using future-ground-truth return (I am not supposed to do so), it has a higher effect on the MV optimizati …
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