Estimates of Standard Errors for Risk and Performance Measures

Estimates of standard errors of popular risk and performance measures for asset or portfolio returns using methods as described in Chen and Martin (2021) .


Reference manual

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1.2.4 by Anthony Christidis, 2 months ago

Browse source code at

Authors: Anthony Christidis <[email protected]> , Xin Chen <[email protected]du>

Documentation:   PDF Manual  

GPL (>= 2) license

Imports xts, zoo, boot, RPEIF, RPEGLMEN, RobStatTM

Suggests testthat, R.rsp, PerformanceAnalytics

Suggested by PerformanceAnalytics.

See at CRAN