[ganonm]

The Sharpe ratio should be mentioned here. It allows an apple to apples comparison between the performance of different assets in terms of expected return against variance (risk). In an efficiently priced market, assets will be priced to lie on a straight line of unit return vs unit risk. The line itself passes through the y-axis (zero risk) at a point called the 'risk free rate'. This is a hypothetical point but a close proxy in the real world is e.g. US treasury bills. In the game, I assume the bank always pays interest on deposits so it _is_ the risk free rate (0.05%).

Plotting the different strategies, then fitting a straight line (passing through the risk free point) would allow us to say "strategies falling above the line have market beating Sharpe ratios and strategies falling below are underperforming".

[scast]

Absolutely. I just focused in finding good weight allocations for the given risk, but changing the objective function given to the negative of the sharpe ratio should get you good allocations that maximize the sharpe ratio.

You'll notice I am returning the expected return and variance of the returns. I didn't talk about it too much (besides a high level risk vs. returns at the end) because I didn't want to introduce another concept, but you can readily compare the sharpe ratio using those.

I did a quick analysis (which I had put here but I can't properly format it) here: https://gist.github.com/scast/d7ab3a0f5c5458c11d8624cc73806d...