sharpeRratio (1.1)

0 users

Moment-Free Estimation of Sharpe Ratios.

http://cran.r-project.org/web/packages/sharpeRratio

An efficient moment-free estimator of the Sharpe ratio, or signal-to-noise ratio, for heavy-tailed data (see ).

Maintainer: Damien Challet
Author(s): Damien Challet

License: GPL (>= 2)

Uses: ghyp, Rcpp

Released 9 months ago.


Ratings

Overall:

  (0 votes)

Documentation:

  (0 votes)

Log in to vote.

Reviews

No one has written a review of sharpeRratio yet. Want to be the first? Write one now.


Related packages: ChainLadder, CreditMetrics, MSBVAR, PerformanceAnalytics, Rcmdr, TSdbi, TTR, Zelig, backtest, car, copula, dlm, dse, dyn, dynlm, fArma, fAsianOptions, fAssets, fBasics, fBonds(20 best matches, based on common tags.)


Search for sharpeRratio on google, google scholar, r-help, r-devel.

Visit sharpeRratio on R Graphical Manual.