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 <https://arxiv.org/abs/1505.01333>).

Version: 1.1
Depends: ghyp
Imports: Rcpp (≥ 0.12.4)
LinkingTo: Rcpp
Published: 2016-10-07
Author: Damien Challet
Maintainer: Damien Challet <damien.challet at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
In views: Finance
CRAN checks: sharpeRratio results

Downloads:

Reference manual: sharpeRratio.pdf
Package source: sharpeRratio_1.1.tar.gz
Windows binaries: r-devel: sharpeRratio_1.1.zip, r-release: sharpeRratio_1.1.zip, r-oldrel: sharpeRratio_1.1.zip
OS X Mavericks binaries: r-release: sharpeRratio_1.1.tgz, r-oldrel: sharpeRratio_1.1.tgz

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