A reader, Mr. A. Goldstein, made a real useful observation close my article "Maximizing Compound Rate of Return". In that article I argued that if your destination is to maximize the chemical compound charge per unit of measurement of return, you lot should maximize the quantity m – s2/2, where m is the short-term (1-period) charge per unit of measurement of return, together with s is its measure deviation. In general, this is not the same equally maximizing the Sharpe ratio of a strategy. However, Mr. Goldstein pointed out that, if you lot too optimize the leverage of your strategy using Kelly's criterion, together with thence maximizing Sharpe ratio does inwards fact maximize the chemical compound charge per unit of measurement of supply also. This follows from a calculation inwards department seven of medico Edward Thorpe's newspaper www.bjmath.com/bjmath/thorp/paper.htm.
Mr. Goldstein too suggested a beta arbitrage strategy which he has allowed me to part amongst my readers inwards a futurity post.
Tidak ada komentar:
Posting Komentar