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>).

Package details

AuthorDamien Challet
MaintainerDamien Challet <>
Package repositoryView on CRAN
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sharpeRratio documentation built on July 5, 2022, 5:14 p.m.