![]() Entropic Drawdown at Risk (EDaR) for uncompounded cumulative returns.Conditional Drawdown at Risk (CDaR) for uncompounded cumulative returns.Average Drawdown for uncompounded cumulative returns.Maximum Drawdown (Calmar Ratio) for uncompounded cumulative returns.Second Lower Partial Moment (Sortino Ratio). ![]() First Lower Partial Moment (Omega Ratio).Mean Risk and Logarithmic Mean Risk (Kelly Criterion) Portfolio Optimization with 18 convex risk measures: Mean Risk and Logarithmic Mean Risk (Kelly Criterion) Portfolio Optimization with 4 objective functions: Some of key functionalities that Riskfolio-Lib offers: Its objective is to help students, academics and practitioners to build investment portfolios based on mathematically complex models with low effort. ![]() Or portfolio optimization in Python made in Peru □□. Riskfolio-Lib is a library for making quantitative strategic asset allocation
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