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braverock / PerformanceAnalytics

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capm epsilon #178

Closed TY-Cheng closed 5 months ago

TY-Cheng commented 2 years ago

here 'rf' should be subtracted instead of added.

https://github.com/braverock/PerformanceAnalytics/blob/d89d0f1beecbfd0b8bea083f5a3dbe711c70a747/R/CAPM.epsilon.R#L53

https://en.wikipedia.org/wiki/Alpha_(finance)