@railpath/finance-toolkit/dist/risk/calculateAlpha.d.ts

Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection

import { AlphaOptions } from '../schemas/AlphaOptionsSchema';
import { AlphaResult } from '../schemas/AlphaResultSchema';
/**
 * Calculate Alpha (α) using CAPM
 *
 * α = Actual Return - Expected Return
 * Expected Return = Rf + β × (Rm - Rf)
 *
 * Positive α: outperformance vs. market-adjusted expectations
 * Negative α: underperformance
 *
 * @param options - Asset returns, benchmark returns, risk-free rate
 * @returns Alpha, beta, returns, expected return
 */
export declare function calculateAlpha(options: AlphaOptions): AlphaResult;