FinCal (version 0.6.3)

SFRatio: Computing Roy's safety-first ratio

Description

Computing Roy's safety-first ratio

Usage

SFRatio(rp, rl, sd)

Arguments

rp

portfolio return

rl

threshold level return

sd

standard deviation of portfolio retwns

See Also

Sharpe.ratio

Examples

SFRatio(rp=0.09,rl=0.03,sd=0.12)