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Calculating returns on sequence of trades with zero starting capital

Hi Jkut: First you should always specify the return in the sense of when you calculate the return, what are you calculating the return of ? In our case, we will calculate the return on the two share ...
mark leeds's user avatar
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How to create a long-short portfolio on an academic basis

My current procedure is that I subtract the monthly portfolio return " top" from my monthly portfolio return "bottom". I then calculate my Sharpe ratio from these monthly returns ...
KaiSqDist's user avatar
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sharpe ratio, convert into convex function, not understand that constraint,

After reading about A Signal Processing Perspective on Financial Engineering. I am trying to answer my question. But I am not sure that if I am correct or not. and show my question again. I would like ...
andy's user avatar
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