Measures for ELPERFORMANCEMEASURE
The keys in the next table presents the possible types of risk figures which could be used in the generic ELPERFORMANCEMEASURE function.
Note: the letter case has no influence on the functions.
Key | Description |
---|---|
expected-return | The expected return |
sharpe-ratio | the excess return (with respect) to a risk free rate per unit of portfolio risk (volatility) |