Sharpe Ratios are Homogeneous of Degree Zero

4 Pages Posted: 14 Apr 2012

Date Written: April 13, 2012

Abstract

We propose a new decomposition for contribution and attribution analysis based on the observations that Sharpe Ratios are homogeneous of degree zero in constituent weights.

Keywords: Sharpe Ratio, attribution, contribution, Euler theorem, homogeneous function

Suggested Citation

Steiner, Andreas, Sharpe Ratios are Homogeneous of Degree Zero (April 13, 2012). Available at SSRN: https://ssrn.com/abstract=2039290 or http://dx.doi.org/10.2139/ssrn.2039290

Andreas Steiner (Contact Author)

Andreas Steiner Consulting GmbH ( email )

Walderstrasse 43c
Hinwil, 8340
Switzerland

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