Comment by dcolkitt
4 years ago
Sharpe is typically calculated on log returns. Price going to zero would weigh as negative infinity in log return space. Therefore Sharpe would also prescribe zero bet on finite chance of ruin.
4 years ago
Sharpe is typically calculated on log returns. Price going to zero would weigh as negative infinity in log return space. Therefore Sharpe would also prescribe zero bet on finite chance of ruin.
A proper Sharpe ratio is calculated with arithmetic returns.