← 返回 goldmansachs 的题目列表Sample Size for Sharpe Ratio Significance Testing
类型:online_judge
goldmansachs
Suppose you have a strategy with an annual Sharpe ratio of 0.5. How many observations do you need to have high confidence that the performance of this strategy is greater than 0?
Example
Input
Annual Sharpe ratio = 0.5, 95% confidence