Sharpe Ratio

Definition: The Sharpe ratio is computed in context of the Sharpe-Linter CAPM. Defined for an asset portfolio a that has mean m_a, standard deviation s_a, and with risk-free rate r_f by:

[m_a-r_f]s_a

Higher Sharpe ratios are more desirable to the investor in this model.

The Sharpe ratio is a synonym for the "market price of risk." Empirically, for the NYSE, the Sharpe ratio is in the range of .30 to .40.

(Econterms)

Terms related to Sharpe Ratio:
None

About.Com Resources on Sharpe Ratio:
None

Writing a Term Paper? Here are a few starting points for research on Sharpe Ratio:

Books on Sharpe Ratio:
None

Journal Articles on Sharpe Ratio:
None