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 <>).

Package details

AuthorDamien Challet
MaintainerDamien Challet <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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sharpeRratio documentation built on May 29, 2017, 6:58 p.m.