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>).

Install the latest version of this package by entering the following in R:
install.packages("sharpeRratio")
AuthorDamien Challet
Date of publication2016-10-07 18:30:24
MaintainerDamien Challet <damien.challet@gmail.com>
LicenseGPL (>= 2)
Version1.1

View on CRAN

Files

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

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

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