RPESE: Estimates of Standard Errors for Risk and Performance Measures

Estimates of standard errors of popular risk and performance measures for asset or portfolio returns using methods as described in Chen and Martin (2021) <doi:10.21314/JOR.2020.446>.

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Package details

AuthorAnthony Christidis <anthony.christidis@stat.ubc.ca>, Xin Chen <chenx26@uw.edu>
MaintainerAnthony Christidis <anthony.christidis@stat.ubc.ca>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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RPESE documentation built on Sept. 23, 2021, 1:07 a.m.