numeraire.core.stats.certainty_equivalent#

numeraire.core.stats.certainty_equivalent(returns: NDArray[float64], gamma: float = 1.0, *, ddof: int = 0) → float[source]#

DGU (2009) eq. 12 certainty-equivalent return: mean - (gamma/2) * var.

The per-period CEQ of a mean-variance investor holding returns (a realized OOS strategy return series). gamma is risk aversion (DGU report gamma=1); ddof=0 matches their tabulated (MLE) variance. Same units/frequency as the input — DGU’s tables are monthly. Higher is better. NaNs are dropped; fewer than two observations yields NaN.