Esempio n. 1
0
def kelly_ratio(R, Rf=0, method="half"):
    KR = returns.excess(R, Rf).mean() / R.var()
    if method == "half":
        KR = KR / 2
    return KR
Esempio n. 2
0
def kelly_ratio(R, Rf=0, method="half"):
    KR = returns.excess(R, Rf).mean() / R.var()
    if method == "half":
        KR = KR / 2
    return KR
Esempio n. 3
0
 def srm(R, Rf, p, Func):
     xR = returns.excess(R, Rf)
     SRM = xR.mean() / Func
Esempio n. 4
0
 def srm(R, Rf, p, Func):
     xR = returns.excess(R, Rf)
     SRM = xR.mean() / Func