sharpeRratio: Moment-Free Estimation of Sharpe Ratios

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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>).

Author
Damien Challet
Date of publication
2016-10-07 18:30:24
Maintainer
Damien Challet <damien.challet@gmail.com>
License
GPL (>= 2)
Version
1.1

View on CRAN

Man pages

a_vs_R0dN
A pre-calibrated spline function needed to translate the...
estimateSNR
A moment-free estimator of the Sharpe (signal-to-noise) ratio
sharpeRratio-package
A moment-free estimator of the Sharpe (signal-to-noise) ratio

Files in this package

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