Portfolio Analysis / Mean-Variance
Sharpe Ratio
Changed onCompute the Sharpe ratio, as well as its 95% confidence interval when applicable, of a portfolio.
References
- Harry M. Markowitz, Portfolio Selection, Efficient Diversification of Investments, Second edition, Blackwell Publishers Inc.
- Sharpe, W. (1994) The Sharpe Ratio. Journal of Portfolio Management, 21, 49-58
- Lopez de Prado, Marcos and Lipton, Alexander and Zoonekynd, Vincent, How to Use the Sharpe Ratio
post/portfolios/analysis/mean-variance/sharpe-ratio
Request
- Base URLhttps://api.portfoliooptimizer.io/v1
- URLhttps://api.portfoliooptimizer.io/v1/portfolios/analysis/mean-variance/sharpe-ratio
- AuthAPI key in header X-API-Key
Request body
Response
OK
Changes
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