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Question1: I think you're confused on what you're actually measuring. Don't think about this in terms of trades, think about it in terms of the total value of your portfolio. At day 1 you have 100 dollars, tomorrow you have 110, 2 days from now 115 and a week from now it's back to 105. How many trades you made during that period, how big those positions are ...

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$\lambda$ is independent of the maximum sharpe ratio. The maximum sharpe ratio portfolio will give you a combination of the risk free asset and the tangency portfolio. Then your risk aversion just makes you choose the combination between these two assets. See picture below. The blue line is the efficient frontier with short-sales allowed. The red-curve is ...

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My understanding is that a Sharpe Ratio must be calculated based on the actual trading days elapsed, not on the days traded. The calculation proceeds as follows: 1) Establish a list of all trading days between 6/2/2016 and 6/9/2020. You could start with a list of all calendar days, remove Saturdays and Sundays and then remove the NYSE holidays listed on ...

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The answer above is not correct. Let's go by parts: Denote the mean of returns $\mu$. Denote the standard deviation of returns: $\sigma$. Therefore the sharpe ratio is: $$SR = \frac{\mu-r_f}{\sigma}$$ The corresponding standard errors are: $$se(\hat{mu}) = \frac{\sigma}{\sqrt{t}}$$ $$se(\hat{\sigma}) = \frac{\sqrt{2} \sigma^2}{\sqrt{T}}$$  se(\...

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