sortino

There are 0 repository under sortino topic.

• 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.

  financesortinosharpedownsideriskreturnsportfoliooptimizermatlabvolatility
  Language:MATLAB 11

• GunnarPDX / Correlations

  📊 A financial correlations library for Elixir, fully compatible with the elixir Decimal library.

  correlation-matrixsharpe-ratiosortinoportfolio-correlationportfolio-deviation
  Language:Elixir 9

• Peter-Staadecker / Lions-and-Tigers-and-Sortinos-Oh-My

  Python program to calculate the beta, up/down market capture and Sortino ratios of various stocks.

  pythonpandastiingostocksstock-marketstock-datafinancial-marketsfinancial-analysissortino-ratiosortinobeta-coefficentbetaup-market-capturedown-market-capturevolatilitystandard-deviation
  Language:Python 0