Problem 171 of 333HardProbabilityP171

Sample size for Sharpe ratio estimation

Daily returns are i.i.d. with mean 0.0005 and std 0.01 (Sharpe $\approx 0.8$ annualized). How many trading days do you need to estimate the annualized Sharpe to within $\pm 0.2$ with 95% confidence?
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