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Are independent risks substitutes according to the Generalized Sharpe Ratio?

April 26, 2017generalized independent ratio sharpe substitutes

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Are independent risks substitutes according to the Generalized Sharpe Ratio?

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by Dirk Tasche & Luisa Tibiletti April 11, 2001 Abstract Independent risks are substitutes if the opportunity to invest in one risk cuts down the demand in the others. Intuition seems to sustain this idea, but if the problem is tackled in a normative framework, no consensus in the literature is found. In this paper we investigate what does happen if the decision rule is based on the Generalized Sharpe Ratio…