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sharpe

Here are 6 public repositories matching this topic...

ArdiaD / PeerPerformance

Set of functions to perform (financial) peer performance calculations

finance performance-metrics performance-analysis alpha screening funds sharpe

Updated Nov 13, 2024
R

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.

portfolio finance risk matlab optimizer volatility sharpe returns downside sortino

Updated Apr 13, 2020
MATLAB

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.

portfolio finance optimization ratio optimize optimizer quant sharpe-ratio sharpe markowitz cvar

Updated Jul 2, 2023
Jupyter Notebook

assoniraiter / capm-app

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

finance beta stock valuation sharpe-ratio sharpe capm

Updated Nov 25, 2020
Python

TheAmirHK / Portfolio-analysis-and-optimization

simulation portfolio-optimization pyomo sharpe pyportfolioopt brownian-dynamics-simulation

Updated Nov 28, 2023
Jupyter Notebook

andrewhsugithub / Transaction-Metrics

Calculate your OKX Transaction Metrics

flask backend rest-api roi sharpe maximum-drawdown profit-factor

Updated May 1, 2024
Python

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