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Portfolio Analysis / Contributions

Sharpe Ratio Contributions

Perform a Sharpe Ratio contribution analysis of a portfolio.

References

post/portfolios/analysis/contributions/sharpe-ratio

assetsinteger required

The number of assets

assetsMeanReturnsnumber[] required

assetsMeanReturns[i] is the arithmetic (expected) return of asset i

riskFreeReturnnumber

The constant risk-free arithmetic return over the considered time period, in percentage