missing a '/2' in the price_to_dividend_ratio calculation

sbenthall · Mar 21, 2023 · c028d0f · c028d0f
1 parent 9140b17
commit c028d0f
Showing 1 changed file with 2 additions and 2 deletions.
diff --git a/sharkfin/utilities.py b/sharkfin/utilities.py
@@ -143,10 +143,10 @@ def price_dividend_ratio_random_walk(DiscFac, CRRA, dividend_growth_rate, divide
     DiscFac_daily = DiscFac ** (1.0 / days_per_quarter)
 
     subjective_return = dividend_growth_rate ** (1 - CRRA) \
-        * DiscFac_daily * (dividend_std ** 2 + 1) ** (CRRA * (CRRA - 1))
+        * DiscFac_daily * (dividend_std ** 2 + 1) ** (CRRA * (CRRA - 1) / 2)
 
-    assert subjective_return < 1
     print("subjective_return: " + str(subjective_return))
+    assert subjective_return < 1
 
     return subjective_return / (1 - subjective_return)