Difference between revisions of "Sharpe ratio"
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KevinDavis (talk | contribs) (Created page with "The '''Sharpe ratio''' is a financial measure of the compensation (called a "risk premium") an investor receives for bearing an additional unit of risk. It is defined as : <math...") |
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where <math>E(r)</math> is the asset's expected return, <math>r_f</math> is the risk-free rate (normally, the rate of return of a United States T-bill) and <math>\sigma</math> is the risk associated with the investment. | where <math>E(r)</math> is the asset's expected return, <math>r_f</math> is the risk-free rate (normally, the rate of return of a United States T-bill) and <math>\sigma</math> is the risk associated with the investment. | ||
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Revision as of 02:50, October 24, 2011
The Sharpe ratio is a financial measure of the compensation (called a "risk premium") an investor receives for bearing an additional unit of risk. It is defined as
where is the asset's expected return, is the risk-free rate (normally, the rate of return of a United States T-bill) and is the risk associated with the investment.
