Analyzing Marginal Sharpe Ratio
The Marginal Sharpe Ratio (MSR) of an investment strategy considers the new strategy's impact on the portfolio's expected returns and the expected change in the portfolio risk profile due to diversification.
Featured in No. 60 on 7 Aug 2024 · 2 days after release
- Released
- 5 Aug 2024
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- No. 60 · 7 Aug 2024
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- SSRN 4916095
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