View source: R/haircut.Sharpe.R
Generate empirical p-value distributions
1 | sample_random_multests(rho, m_tot, p_0, lambda, M_simu)
|
rho |
average correlation among returns |
m_tot |
total number of trials |
p_0 |
probability for a random factor to have a zero mean |
lambda |
average of monthly mean returns for true strategies |
M_simu |
number of simulations to perform |
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