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 |
| 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 binaries: | r-release: sharpeRratio_1.1.tgz, r-oldrel: sharpeRratio_1.1.tgz |
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