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fmilthaler / FinQuant

A program for financial portfolio management, analysis and optimisation.
MIT License
1.38k stars 190 forks source link

Compute Sortino ratio #67

Closed aft90 closed 1 year ago

aft90 commented 3 years ago

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.

fmilthaler commented 1 year ago

@aft90 Thank you for adding this feature to FinQuant, much appreciated, and apologies for the loooong delay in getting back to this/you. Since this branch is behind master now, I changed the base branch to the version of master you developed the new feature on. I'll also merge this into said branch and make sure it's rebased correctly on the latest version of master and then take it from there. Once again, thank you for your contribution! :)