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Version: 21.8.3

Measures for ELPERFORMANCEMEASURE

The keys in the next table presents the possible types of risk figures which could be used in the generic ELPERFORMANCEMEASURE function.

Note: the letter case has no influence on the functions.

KeyDescription
expected-returnThe expected return
sharpe-ratiothe excess return (with respect) to a risk free rate per unit of portfolio risk (volatility)