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.
📊 A financial correlations library for Elixir, fully compatible with the elixir Decimal library.
Otimizador de carteiras de ações, FIIs e fundos com dados da B3, CVM e Yahoo: Sharpe, Sortino, linearidade do excesso, posições vendidas (hedge) e walk-forward (auto-otimização)
Python program to calculate the beta, up/down market capture and Sortino ratios of various stocks.
개인 위험 성향 기반 DC/IRP ETF 포트폴리오 최적화 — Black-Litterman · Sortino · XAI
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