Glossary

Certainty Equivalent (CE)

An annualized risk-adjusted return metric equal to 252 times the daily net mean return minus 252 times half of risk aversion gamma times the daily sample variance.

Source: When Do Distributional Alarms Improve Downside Risk Control? Evidence from Four Equity Markets (Academic research) · p.5

Have a question about Certainty Equivalent (CE)? Ask the AI, answers cite the source.