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sharpeRratio  

Moment-Free Estimation of Sharpe Ratios
View on CRAN: Click here


Download and install sharpeRratio package within the R console
Install from CRAN:
install.packages("sharpeRratio")

Install from Github:
library("remotes")
install_github("cran/sharpeRratio")

Install by package version:
library("remotes")
install_version("sharpeRratio", "1.4.3")



Attach the package and use:
library("sharpeRratio")
Maintained by
Damien Challet
[Scholar Profile | Author Map]
First Published: 2016-10-07
Latest Update: 2022-07-05
Description:
An efficient moment-free estimator of the Sharpe ratio, or signal-to-noise ratio, for heavy-tailed data (see ).
How to cite:
Damien Challet (2016). sharpeRratio: Moment-Free Estimation of Sharpe Ratios. R package version 1.4.3, https://cran.r-project.org/web/packages/sharpeRratio. Accessed 29 Mar. 2025.
Previous versions and publish date:
1.1 (2016-10-07 18:30), 1.2 (2019-12-05 21:50), 1.3 (2020-02-12 09:30), 1.4.1 (2020-05-15 17:05), 1.4.2 (2021-02-24 06:30), 1.4 (2020-05-13 15:40)
Other packages that cited sharpeRratio R package
View sharpeRratio citation profile
Other R packages that sharpeRratio depends, imports, suggests or enhances
Complete documentation for sharpeRratio
Functions, R codes and Examples using the sharpeRratio R package
Some associated functions: a . computeR0bar . estimateSNR . f . num_records_down . num_records_up . sharpeRratio-package . 
Some associated R codes: RcppExports.R . estimateSNR.R .  Full sharpeRratio package functions and examples
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