| Revision as of 05:58, 16 February 2006 editGene s (talk | contribs)3,152 editsNo edit summary← Previous edit | Revision as of 04:12, 4 July 2006 edit undo134.84.5.10 (talk)No edit summaryNext edit → | ||
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| :: <V> - C == <V - C>, where V is some value, and C is a constant | :: <V> - C == <V - C>, where V is some value, and C is a constant | ||
| :: --] 05:58, 16 February 2006 (UTC) | :: --] 05:58, 16 February 2006 (UTC) | ||
| :::The return on benchmark asset is not necessary a constant, i.e. the benchmark asset may or may not be risk free. The catch was good, making the formula more general. | |||
Revision as of 04:12, 4 July 2006
This is misleading, as one actually wants mean and stdev of excess returns, which means the subtraction of risk free comparators should be inside the operators.
- Good catch, I had never looked that closely into the definition, but I just checked the paper that is the external link and it confirms you are correct. There may be a clearer way to word that than I did, so feel free to fix it if you can. - Taxman 21:43, 15 February 2006 (UTC)
- Actually it is not a good catch. The current formula is equivalent to the previous formula within the usual assumptions
- <V> - C == <V - C>, where V is some value, and C is a constant
- --Gene s 05:58, 16 February 2006 (UTC)
- The return on benchmark asset is not necessary a constant, i.e. the benchmark asset may or may not be risk free. The catch was good, making the formula more general.