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Homequantitative analysis

The Sharpe Ratio Ratio

1 July 2019Research & presentationsinvesting, quantitative analysisNick Dunbar

Portfolio optimisers often give results that are extreme and unstable. With so many variables involved, it can be hard to decipher why. This article presents a simplifi ed formula for a two-asset optimisation which will bolster your intuitive understanding of how a portfolio optimiser behaves and why it may behave badly. Download the paper here About…

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