Hello, can someone explain why the RSF ratio is the preferred choice for selecting the appropriate allocation vs the sharpe in the below Q from the CFAI ecosystem on the Asset allocation section? Thanks
What’s the committee’s goal?
to find the portfolio that has the highest prob. of return. I guess the Q threw me off a bit because intuitively Pf1 seems to maximize the Sharpe ratio by a much wider margin than 2, but I guess we are not supposed to think about risk here? Because the exhibit presented so many risk metrics, I was tricked into thinking they were relevant, I guess. …
Voilà!