joyyy
2023-05-27 17:40老師，請(qǐng)問(wèn)這題兩個(gè)人的夏普比率和特雷諾比率怎么算？代了好多遍數(shù)據(jù)也證明不了A和B是對(duì)的
所屬：FRM Part I > Foundations of Risk Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Michael助教
2023-05-29 12:03
該回答已被題主采納
學(xué)員你好，
Peter's portfolio's excess return was +7.0%(his gross return was + 9.0%)with a volatility of 36.0% per annum and beta,β(P,M)=0.750.
所以夏普比率是7%/36%，特雷諾比率是7%/0.750
Betty's portfolio's excess return was +11.0%(her gross return was + 13.0%)with a volatility of 44.0% per annum and beta,β(B,M)=1.50.
所以夏普比率是11%/44%，特雷諾比率是11%/1.50
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