Hi Ilya, There is a reference in the code about how is implemented the Ulcer Index. It is here also: http://www.tangotools.com/ui/ui.htm Farid.
Question about the Ulcer Index calculation in PerformanceAnalytics
1 message · Farid Moussaoui
1 message · Farid Moussaoui
Hi Ilya, There is a reference in the code about how is implemented the Ulcer Index. It is here also: http://www.tangotools.com/ui/ui.htm Farid.