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:	1.4.3
Depends:	R (≥ 3.5.0), ghyp, methods
Imports:	Rcpp (≥ 0.12.4)
LinkingTo:	Rcpp
Published:	2022-07-05
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

Documentation:

Reference manual:

sharpeRratio.pdf

Downloads:

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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