returns

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TommasoBelluzzo / HFMRD

A framework for detecting misreported returns in hedge funds.

time-series quantitative-finance financial-data financial-analysis financial-markets returns anti-fraud time-series-analysis testing-framework quantitative-analysis time-series-econometrics quantitative-methods hedge-funds financial-forensics

Updated Aug 25, 2019
MATLAB

elayden / portfolio_sortino_ratio

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This function optimizes portfolio weights based on a user-specified weighted linear combination of the Sortino ratio, Sharpe ratio, average total return, average downside risk, average standard deviation of returns, and max drawdown.

portfolio finance risk matlab optimizer volatility sharpe returns downside sortino

Updated Apr 13, 2020
MATLAB

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