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: 1.4.1
Depends: R (≥ 3.5.0), ghyp
Imports: Rcpp (≥ 0.12.4)
LinkingTo: Rcpp
Published: 2020-05-15
Author: Damien Challet
Maintainer: Damien Challet <damien.challet at>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: yes
Materials: README NEWS
In views: Finance
CRAN checks: sharpeRratio results


Reference manual: sharpeRratio.pdf
Package source: sharpeRratio_1.4.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: sharpeRratio_1.4.1.tgz, r-oldrel: sharpeRratio_1.4.1.tgz
Old sources: sharpeRratio archive


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