The Sharpe Ratio Efficient Frontier & Discovery of Alpha Risk Event
The Sharpe Ratio Efficient Frontier and the Objective Discovery of Alpha Risk
Dr. Marcos Lopez de Prado discusses his award-winning paper evaluating the probability that an estimated Sharpe ratio exceeds a given threshold in presence of non-Normal returns.
Most important is that it permits the computation of what we call the Sharpe ratio Efficient Frontier (SEF), which allows optimization of a portfolio under non-Normal, leveraged returns while incorporating the uncertainty derived from track record length.
In the second presentation, David Marra discusses the myriad obstacles hedge funds encounter when analyze big data and presents a case study in the objective discovery of alpha and risk.
Source: http://www.shorecapmgmt.com/4/post/2013/05/the-sharpe-ratio-efficient-frontier-discovery-of-alpha-risk-event.html
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