Probabilistic Sharpe Ratio

v1.0.0

Compute the probabilistic Sharpe ratio of one or several portfolio(s).

References

Input

{
  "type": "object"
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioProbabilisticSharpeRatio"
        ],
        "properties": {
          "portfolioProbabilisticSharpeRatio": {
            "type": "number",
            "description": "The probabilistic Sharpe ratio of the portfolio, in percentage"
          }
        }
      }
    }
  }
}