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Coefficient of Variation

Dispersion relative to mean of a distribution; CV=σ/μ (σ is std dev.)


Q: If the threshold return is higher than the risk-free rate, what will be the relationship b/w Roy's safety-first ratio (SF) and Sharpe's ratio?
  • Denominator (Sharpe) = Denominator (SF)
  • Rtarget > Rf
  • R – Rf > R - Rtarget
  • Sharpe > SF

R – Rf > R - Rtarget


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