sharpeRratio: Moment-Free Estimation of Sharpe Ratios

An efficient moment-free estimator of the Sharpe ratio, or signal-to-noise ratio, for heavy-tailed data (see <https://arxiv.org/abs/1505.01333>).

AuthorDamien Challet
Date of publication2016-10-07 18:30:24
MaintainerDamien Challet <damien.challet@gmail.com>
LicenseGPL (>= 2)
Version1.1

View on CRAN

Files

sharpeRratio
sharpeRratio/src
sharpeRratio/src/num_records.cpp
sharpeRratio/src/RcppExports.cpp
sharpeRratio/NAMESPACE
sharpeRratio/data
sharpeRratio/data/a_vs_R0dN.rda
sharpeRratio/R
sharpeRratio/R/RcppExports.R sharpeRratio/R/estimateSNR.R
sharpeRratio/MD5
sharpeRratio/DESCRIPTION
sharpeRratio/man
sharpeRratio/man/estimateSNR.Rd sharpeRratio/man/sharpeRratio-package.Rd sharpeRratio/man/a_vs_R0dN.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.