Portfolio Optimization and Quantitative Strategic Asset Allocation in Python finance trading portfolio-optimization sharpe-ratio quantitative-finance investment cvxpy convex-optimization asset-allocation stepwise-regression investment-analysis principal-components-regression risk-factors portfolio-management risk-parity ...
TheSharpe ratiohelps an investor evaluate the relationship between risk and return for a stock or any other asset. Devised by American economist William Sharpe of Stanford University in the 1960s and revised by him in 1994, the ratio has become one of the most widely used metrics in investing...
First developed in 1966 and revised in 1994, the Sharpe ratio aims to reveal how well an asset performs compared to a risk-free investment.1The common benchmark used to represent that risk-free investment is U.S. Treasury bills or bonds, especially the 90-day Treasury bill. The Sharpe rat...