操纵sharp ratio

同学你好，writing out-of-the-money puts and calls on a portfolio. 这种方法和交易一个negative skewness的收益分布类似，主要是收益更获得提升，风险并没有增加。这里Strategies that involve taking on default risk, liquidity risk, or other forms of catastrophe risk have the same ability to report an upwardly biased Sharpe ratio. 这里是说承担default risk，liquidity risk的标的都可以用这种方法来实现对sharp ratio return的操纵。