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 (2019) < https://ssrn.com/abstract=3085672>.


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install.packages("RPESE")

1.0.5 by Anthony Christidis, 4 months ago


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


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


Documentation:   PDF Manual  


GPL (>= 2) license


Imports xts, zoo, boot, sandwich, RPEIF, RPEGLMEN, PerformanceAnalytics

Suggests testthat, R.rsp


Suggested by PerformanceAnalytics.


See at CRAN