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StuartGordonReid / RiskAdjustedReturnMetrics.py
Last active June 9, 2024 23:00
Measured of Risk-adjusted Return
import math
import numpy
import numpy.random as nrand
"""
Note - for some of the metrics the absolute value is returns. This is because if the risk (loss) is higher we want to
discount the expected excess return from the portfolio by a higher amount. Therefore risk should be positive.
"""