sharpe_ratio

pymc_marketing.mmm.utility.sharpe_ratio(risk_free_rate=0.0)

Calculate the Sharpe Ratio.

The Sharpe Ratio assesses the risk-adjusted return of an investment by comparing the excess return over the risk-free rate to the standard deviation of returns.

The Sharpe Ratio is calculated as:

\[Sharpe\ Ratio = \frac{\mathbb{E}[R - R_f]}{\sigma}\]

where:

• \(\mathbb{E}[R - R_f]\) is the mean of excess returns.

• \(\sigma\) is the standard deviation of the excess returns.

Parameters:

risk_free_ratefloat, optional

Risk-free rate of return (default is 0.0).

Returns:

UtilityFunctionType

A function that calculates the Sharpe Ratio given samples and budgets.

References

[1]

Sharpe, W.F. (1966). Mutual Fund Performance.