portfolio_sortino_ratio

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

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10 Stars

4 Forks

10 Watchers

MATLAB Language

gpl-3.0 License

Cost to Build

$57.4K

Market Value

$51.9K

How is this calculated?

Growth over time

6 data points · 2021-08-01 → 2023-02-01

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What is the elayden/portfolio_sortino_ratio GitHub project? Description: "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.". Written in MATLAB. Explain what it does, its main use cases, key features, and who would benefit from using it.

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How to clone portfolio_sortino_ratio

Clone via HTTPS

git clone https://github.com/elayden/portfolio_sortino_ratio.git

Clone via SSH

[email protected]:elayden/portfolio_sortino_ratio.git

Download ZIP

Download master.zip

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