Losing money with a high Sharpe ratio. / Vovk, Vladimir.

2011.

Research output: Working paper

Published

Documents

Abstract

A simple example shows that losing all money is compatible with a very high Sharpe ratio (as computed after losing all money). However, the only way that the Sharpe ratio can be high while losing money is that there is a period inwhich all or almost all money is lost. This note explores the best achievable Sharpe and Sortino ratios for investors who lose money but whose one-period returns are bounded below (or both below and above) by a known constant.
Original languageUndefined/Unknown
Number of pages6
Publication statusPublished - 4 Sep 2011
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

ID: 3626788