Show that the sharpe ratio does not respect weak dominance

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Question: Stochastic dominance implies that if the same return can be obtained with two different investments, X and Y, yet the likelihood of a return exceeding a threshold α is greater for X, investors will prefer X over Y. Strict dominance occurs if PX(R > α) > PY (R > α) and weak dominance if PX(R > α) ≥ PY (R > α) for any α. Provide an example showing that the Sharpe ratio does not respect weak dominance.

Reference no: EM131478460

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