On Sharpe Ratio of a Mixture of Dependent Returns

The ratio of the portfolio’s expected return to its standard deviation known as the Sharpe ratio. Despite of its popularity in finance literature as a performance measure, whenever the dependency between the returns is overlooked, the calculated Sharpe index is either over or under evaluated. The aim of this talk is to study the effect of dependence on Sharpe ratio of a pooled portfolio in terms of the associated copula of returns.