Classes
struct	AgingResult
	Result of one aging computation. More...

Public Member Functions
	PortfolioAgingModel (double max_vol=DEFAULT_MAX_VOL)

AgingResult	compute (double coordinate_age, double portfolio_vol, double sharpe) const noexcept

double	max_vol () const noexcept

Detailed Description

Computes the "effective age" of a portfolio accounting for relativistic time dilation, and produces a Lorentz-adjusted Sharpe ratio.

A high-volatility portfolio "ages faster" in coordinate time:

effective_age = coordinate_age * γ
adj_sharpe    = sharpe / √(effective_age)

The adjustment penalises strategies that appear attractive only because they have not been exposed to enough effective information time.

Definition at line 161 of file proper_time.hpp.

Constructor & Destructor Documentation

srfm::proper_time::PortfolioAgingModel::PortfolioAgingModel ( double max_vol = DEFAULT_MAX_VOL )

explicit

Parameters

max_vol Volatility speed-of-light cap.

Definition at line 83 of file proper_time.cpp.

PortfolioAgingModel::AgingResult srfm::proper_time::PortfolioAgingModel::compute	(	double	coordinate_age,
		double	portfolio_vol,
		double	sharpe
	)		const

noexcept

Compute effective age and adjusted Sharpe.

Parameters

coordinate_age	Calendar age of the strategy (years or days).
portfolio_vol	Current annualised volatility.
sharpe	Raw (unadjusted) Sharpe ratio.

Definition at line 88 of file proper_time.cpp.

double srfm::proper_time::PortfolioAgingModel::max_vol ( ) const

inlinenoexcept

Definition at line 184 of file proper_time.hpp.

The documentation for this class was generated from the following files: