Risk adjusted returns based on Value at Risk
""" | |
Note that this Gist uses functions made available in another Gist - | |
https://gist.github.com/StuartGordonReid/67a1ec4fbc8a84c0e856 | |
""" | |
def excess_var(er, returns, rf, alpha): | |
return (er - rf) / var(returns, alpha) | |
def conditional_sharpe_ratio(er, returns, rf, alpha): | |
return (er - rf) / cvar(returns, alpha) |
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