Probabilistic Sharpe Ratio

Compute the probabilistic Sharpe ratio of one or several portfolio(s).

References

• Opdyke, J.D., Comparing Sharpe ratios: So where are the p-values?. J Asset Manag 8, 308–336 (2007)
• Bailey, David H. and Lopez de Prado, Marcos, The Sharpe Ratio Efficient Frontier (April 1, 2012). Journal of Risk, Vol. 15, No. 2, Winter 2012/13