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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 <arXiv:1505.01333>).
Getting started
Browse package contents
Package details |
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| Author | Damien Challet |
| Maintainer | Damien Challet <damien.challet@gmail.com> |
| License | GPL |
| Version | 1.4.3 |
| Package repository | View on CRAN |
| Installation |
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