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 <arXiv:1505.01333>).

Version: 1.3
Depends: R (≥ 3.5.0), ghyp
Imports: Rcpp (≥ 0.12.4)
LinkingTo: Rcpp
Published: 2020-02-12
Author: Damien Challet
Maintainer: Damien Challet <damien.challet at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: yes
Materials: README NEWS
In views: Finance
CRAN checks: sharpeRratio results

Downloads:

Reference manual: sharpeRratio.pdf
Package source: sharpeRratio_1.3.tar.gz
Windows binaries: r-prerelease: sharpeRratio_1.3.zip, r-release: sharpeRratio_1.3.zip, r-oldrel: sharpeRratio_1.3.zip
macOS binaries: r-prerelease: sharpeRratio_1.3.tgz, r-release: sharpeRratio_1.3.tgz, r-oldrel: sharpeRratio_1.3.tgz
Old sources: sharpeRratio archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=sharpeRratio to link to this page.