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>).

Package details

AuthorDamien Challet
MaintainerDamien Challet <[email protected]>
LicenseGPL (>= 2)
Version1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("sharpeRratio")

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sharpeRratio documentation built on May 29, 2017, 6:58 p.m.