Smart Sharpe Ratio and Serenity Ratio Objectives

[ghost]

Here is another objective function which might be of interest to you: Smart Sharpe Ratio - Part 2, which builds off Serenity Ratio - Part 1

[dcajasn]

Hi @blenderben2,

After read the pdfs, they don't bring enough information about how to use smart sharpe ratio, serenity ratio and how to optimize them. Also, I think that both models don't guarantee that they have a global optimal solution and also I think that both models can't be expressed as disciplined convex programming problem.
Finally, Riskfolio-lib is a well documented library. All models available in Riskfolio-Lib come from papers that have a proper theoretical background. So please, analyze well the papers before you raise an issue.

Best,
Dany