I think I am starting to understand the CIR Sharpe ratio, but can someone please clarify?
-The (constant) Sharpe ratio for Vasicek is NOT equal to the constant used in the Sharpe Ratio for CIR? Therefor, the only way to know what those constants are (for CIR), is to solve for the Sharpe ratio and solve for the constants.
-Will these constants change for different a(r, 0, T) and q(r, 0, T)?
So... all that we do know, for an unknown a(r, 0, T) is that the Sharpe ratio will be proportional to r^.5? (i.,e- we know the sharpe ratio for one interest rate, we need to solve for the sharpe ratio for a different interest rate)
I know this isn't a very concise question... more like I need someone to say yes this IS the case/no this is not the case... thank you!!
-The (constant) Sharpe ratio for Vasicek is NOT equal to the constant used in the Sharpe Ratio for CIR? Therefor, the only way to know what those constants are (for CIR), is to solve for the Sharpe ratio and solve for the constants.
-Will these constants change for different a(r, 0, T) and q(r, 0, T)?
So... all that we do know, for an unknown a(r, 0, T) is that the Sharpe ratio will be proportional to r^.5? (i.,e- we know the sharpe ratio for one interest rate, we need to solve for the sharpe ratio for a different interest rate)
I know this isn't a very concise question... more like I need someone to say yes this IS the case/no this is not the case... thank you!!
CIR Sharpe Ratio