What is the Sharpe Ratio, and how can everyone get it wrong?

2018/02/13 by Igor Rivin, Rivin, Igor
Economics, Econometrics and Finance · #Insurance and Financial Risk Management

paper · pdf · doi:10.48550/arxiv.1802.04413

Abstract

The Sharpe ratio is the most widely used risk metric in the quantitative finance community - amazingly, essentially everyone gets it wrong. In this note, we will make a quixotic effort to rectify the situation.

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