Calculates error in the Adjusted Sharpe Ratio The error calculation is sourced from : http://edge-fund.com/Lo02.pdf and is defined as sqrt(1+((SR)^2)/2) divided by N for the RAW Sharpe For Adjusted Sharpe, we use the error for Kurtosis and Skewness in conjunction with the Sharpe error
1 | AdjustedSharpeError(R, Rf = 0, ...)
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Ra, |
Rb ( default zero ) No wrapper used, instead the AdjustedSharpeRatio code is re-used to calculate Sharpe in the function itself Possible modification : Pass a flag variable error ( default zero ) into all sharpe Ratio functions and return error instead of Sharpe if error = 1 |
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