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 < https://arxiv.org/abs/1505.01333>).


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Reference manual

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install.packages("sharpeRratio")

1.1 by Damien Challet, 3 years ago


Browse source code at https://github.com/cran/sharpeRratio


Authors: Damien Challet


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


Imports Rcpp

Depends on ghyp

Linking to Rcpp


See at CRAN