Skip to content

17898

  • 17898
  • 33ff836

  • Verified

    This commit was created on GitHub.com and signed with GitHub’s verified signature.
    GPG key ID: B5690EEEBB952194
    Verified
    Learn about vigilant mode

  • Choose a tag to compare

    View all tags
17898: Compute probabilistic Sharpe ratio on excess returns (#9583)
  • 17898
  • 33ff836

  • Choose a tag to compare

    View all tags

  • Verified

    This commit was created on GitHub.com and signed with GitHub’s verified signature.
    GPG key ID: B5690EEEBB952194
    Verified
    Learn about vigilant mode
@JosueNina JosueNina tagged this 06 Jul 19:24 
* Use risk-free rate in probabilistic Sharpe ratio

* Extend risk free rate to live report PSR and fix probabilistic sharpe ratio tests

* Update regression statistics

* Update test regression statistics

* Add test asserting Sharpe ratio and PSR consistency

* Use excess returns for live report Sharpe and PSR

---------

Co-authored-by: Kevin-Li-2025 <2242139@qq.com>
Assets 2
Loading