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 doi:10.48550/arXiv.1505.01333).
- Version1.4.3
- R version≥ 3.5.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release07/05/2022
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Team
Damien Challet
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