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    Tag: Probability of loss

    The Sharpe ratio and loss probability

    29. Mar 20205. Apr 2020 by Sebastian Schmon

    Assume we have a portfolio with Sharpe ratio of \displaystyle S_r = 1 . What is the probability of the portfolio losing value over a 4 year time horizon?

    Posted in Finance, StatisticsTagged Probability of loss, Quantitative Finance, Sharpe Ratio, TradingLeave a Comment on The Sharpe ratio and loss probability

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