Created
June 12, 2015 13:46
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Risk adjusted returns based on Value at Risk
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| """ | |
| Note that this Gist uses functions made available in another Gist - | |
| https://gist.github.com/StuartGordonReid/67a1ec4fbc8a84c0e856 | |
| """ | |
| def excess_var(er, returns, rf, alpha): | |
| return (er - rf) / var(returns, alpha) | |
| def conditional_sharpe_ratio(er, returns, rf, alpha): | |
| return (er - rf) / cvar(returns, alpha) |
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