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Sharpe is typically calculated on log returns. Price going to zero would weigh as negative infinity in log return space. Therefore Sharpe would also prescribe z
by dcolkitt 6y ago
Sharpe is typically calculated on log returns. Price going to zero would weigh as negative infinity in log return space. Therefore Sharpe would also prescribe zero bet on finite chance of ruin.
- kgwgk 6y agoA proper Sharpe ratio is calculated with arithmetic returns.