Module Portfolio.Risk_metrics

type risk_metrics = {
  1. value_at_risk_95 : Base.float;
  2. expected_shortfall_95 : Base.float;
  3. maximum_drawdown : Base.float;
  4. volatility : Base.float;
  5. sharpe_ratio : Base.float Base.option;
  6. beta : Base.float Base.option;
}
val calculate_portfolio_volatility : Base__Float.t Base.List.t -> Base.Float.t
val calculate_var : Base.Float.t Base.List.t -> confidence_level:Base__Float.t -> Base.Float.t
val calculate_expected_shortfall : Base.Float.t Base.List.t -> confidence_level:Base__Float.t -> Base__Float.t
val calculate_maximum_drawdown : Base.Float.t list -> Base.Float.t
val calculate_risk_metrics : portfolio -> return_history:Base__Float.t Base.List.t -> benchmark_returns:Base__Float.t Base.List.t option -> risk_metrics