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 <damien.challet@gmail.com>
LicenseGPL
Version1.3
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 Feb. 22, 2020, 1:11 a.m.