The Sharpe Ratio, Range and Maximal Drawdown of a Brownian Motion

The Sharpe Ratio, Range and Maximal Drawdown of a Brownian Motion Malik Magdon-Ismail Amir F. Atiya Amrit Pratap Yaser S. Abu-Mostafa Department of Computer Science, Rensselaer Polytechnic Institute, Troy, NY 09/11/2002 cs-02-15

The Sharpe Ratio, Range and Maximal Drawdown of a Brownian Motion

Malik Magdon-Ismail

Amir F. Atiya

Amrit Pratap

Yaser S. Abu-Mostafa

Department of Computer Science, Rensselaer Polytechnic Institute, Troy, NY

09/11/2002

cs-02-15