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Compute Sortino ratio

Open aft90 opened this issue 4 years ago • 0 comments

Hi and thanks for creating this library!

I used your library to help someone with a research paper and found I needed to compute the Sortino ratio, so I added an implementation. I used the defintion of downside risk from Wikipedia. I come from a software engineering and maths background so I have no formal economics/finance training and I hope I got the right implementation.

aft90 avatar Apr 05 '21 00:04 aft90