sharpe

There are 0 repository under sharpe topic.

• ArdiaD / PeerPerformance

  Set of functions to perform (financial) peer performance calculations

  performance-analysisperformance-metricsalphasharpescreeningfundsfinance
  Language:R 12

• elayden / portfolio_sortino_ratio

  This function optimizes portfolio weights based on a user-specified weighted linear combination of the Sortino ratio, Sharpe ratio, average total return, average downside risk, average standard deviation of returns, and max drawdown.

  downsidefinancematlaboptimizerportfolioreturnsrisksharpesortinovolatility
  Language:MATLAB 11

• PyroQuant / Portfolio-Optimizer

  This Python script performs portfolio optimization based on different optimization criteria: 'sharpe', 'cvar', 'sortino', and 'variance'. The script uses historical stock price data downloaded from Yahoo Finance.

  cvarmarkowitzoptimizationoptimizeoptimizerportfolioratiosharpesharpe-ratiofinancequant
  Language:Jupyter Notebook 2

• assoniraiter / capm-app

  App designed to calculate beta parameters from the companies listed in B3 index (Ibovespa) using Sharpe's CAPM (1964).

  betacapmfinancesharpesharpe-ratiostockvaluation
  Language:Python 1

• TheAmirHK / Portfolio-analysis-and-optimization

  brownian-dynamics-simulationportfolio-optimizationpyomopyportfoliooptsharpesimulation
  Language:Jupyter Notebook 1

• andrewhsugithub / Transaction-Metrics

  Calculate your OKX Transaction Metrics

  backendflaskmaximum-drawdownrest-apiroisharpeprofit-factor
  Language:Python