a) \(SR_{max} (EWMA)=L \frac{(2-λ)}{λ}\)
b) \(SR_{max}(EWMA)=L\sqrt{\frac{(2-λ)}{λ}}\)
c) \(SR_{max} (EWMA)=L+\sqrt{\frac{(2-λ)}{λ}}\)
d) \(SR_{max} (EWMA)=L-\sqrt{\frac{(2-λ)}{λ}}\)
Which of these is the maximum value of the SR averaged over all values of EWMA statistic?
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answerhappygod
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Which of these is the maximum value of the SR averaged over all values of EWMA statistic?
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