Which of these is the maximum value of the SR averaged over all values of EWMA statistic?
Posted: Thu Jul 14, 2022 1:54 pm
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) \(SR_{max} (EWMA)=L-\sqrt{\frac{(2-λ)}{λ}}\)
b) \(SR_{max}(EWMA)=L\sqrt{\frac{(2-λ)}{λ}}\)
c) \(SR_{max} (EWMA)=L+\sqrt{\frac{(2-λ)}{λ}}\)
d) \(SR_{max} (EWMA)=L-\sqrt{\frac{(2-λ)}{λ}}\)