SharpeError: Calculates error in the raw Sharpe Ratio The error...
In AmurG/PerformanceAnalytics: Econometric tools for performance and risk analysis
Description
Calculates error in the raw 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
Usage
1
SharpeError(Ra, Rf = 0, ...)
Arguments
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
AmurG/PerformanceAnalytics documentation built on May 5, 2019, 4:55 a.m.
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Description
Calculates error in the raw 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
Usage
1 | SharpeError(Ra, Rf = 0, ...)
|
Arguments
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 |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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