Vovk, Vladimir (2011) Losing money with a high Sharpe ratio.
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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.
This is a Submitted version This version's date is: 4/9/2011 This item is not peer reviewed
https://repository.royalholloway.ac.uk/items/92739d51-8ad9-dbd1-ce24-3185a27833cc/10/
Deposited by Research Information System (atira) on 18-Nov-2014 in Royal Holloway Research Online.Last modified on 18-Nov-2014
arXiv technical report