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 ).


Reference manual

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1.4.2 by Damien Challet, 8 months ago

Browse source code at

Authors: Damien Challet

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL license

Imports Rcpp

Depends on ghyp

Linking to Rcpp

See at CRAN