medium · FRM Part 1 Foundations of Risk Management
If two portfolios have the same Sharpe ratio but one has positive skewness and the other has negative skewness, which one is generally preferred by a rational investor?
- The preference depends on the level of the risk-free rate.
- They are equally attractive because their Sharpe ratios are identical.
- The portfolio with negative skewness.
- The portfolio with positive skewness.
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