An efficient moment-free estimator of the Sharpe ratio, or signal-to-noise ratio, for heavy-tailed data (see <doi:10.48550/arXiv.1505.01333>).
| Version: | 1.4.3 |
| Depends: | R (≥ 3.5.0), ghyp, methods |
| Imports: | Rcpp (≥ 0.12.4) |
| LinkingTo: | Rcpp |
| Published: | 2022-07-05 |
| DOI: | 10.32614/CRAN.package.sharpeRratio |
| Author: | Damien Challet |
| Maintainer: | Damien Challet <damien.challet at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL] |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| CRAN checks: | sharpeRratio results |
| Reference manual: | sharpeRratio.pdf |
| Package source: | sharpeRratio_1.4.3.tar.gz |
| Windows binaries: | r-devel: sharpeRratio_1.4.3.zip, r-release: sharpeRratio_1.4.3.zip, r-oldrel: sharpeRratio_1.4.3.zip |
| macOS binaries: | r-release (arm64): sharpeRratio_1.4.3.tgz, r-oldrel (arm64): sharpeRratio_1.4.3.tgz, r-release (x86_64): sharpeRratio_1.4.3.tgz, r-oldrel (x86_64): sharpeRratio_1.4.3.tgz |
| Old sources: | sharpeRratio archive |
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