Sharpe Ratio Confidence Interval

v1.0.0

Build a confidence interval for the Sharpe ratio of one or several portfolio(s).

References

Input

{
  "type": "object",
  "required": [
    "portfolios",
    "riskFreeRate"
  ],
  "properties": {
    "confidenceIntervalType": {
      "type": "string",
      "description": "The type of confidence interval to build",
      "enum": [
        "twoSided",
        "lowerOneSided",
        "upperOneSided"
      ]
    },
    "confidenceLevel": {
      "type": "number",
      "description": "The confidence level of the confidence interval to build, in percentage"
    },
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioValues"
        ],
        "properties": {
          "portfolioValues": {
            "type": "array",
            "description": "portfolioValues[t] is the value of the portfolio at the time t",
            "items": {
              "type": "number"
            }
          }
        }
      }
    },
    "riskFreeRate": {
      "type": "number",
      "description": "The risk free rate"
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioSharpeRatioConfidenceInterval"
        ],
        "properties": {
          "portfolioSharpeRatioConfidenceInterval": {
            "type": "array",
            "description": "portfolioSharpeRatioConfidenceInterval[0] (resp. portfolioSharpeRatioConfidenceInterval[1]) is the lower (resp. upper) bound of the built confidence interval, possibly equal to null in case of a negative infinite (resp. positive infinite) bound",
            "items": {
              "type": "number"
            }
          }
        }
      }
    }
  }
}