Consider a strategy with five years of daily IID Normal returns.

Consider a strategy with five years of daily IID Normal returns. The best trial out of ten yields an annualized Sharpe ratio of 2, where the variance across the annualized Sharpe ratios is 1. a What is the expected maximum Sharpe ratio? Hint: Apply the False Strategy theorem. b After one trial, what is the probability of observing a maximum Sharpe ratio equal or higher than 2? Hint: This is the probabilistic Sharpe ratio. c After ten trials, what is the probability of observing a maximum Sharpe ratio equal or higher than 2? Hint: This is the deflated Sharpe ratio

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