Package: RPESE 1.2.5

RPESE: 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) <doi:10.21314/JOR.2020.446>.

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

RPESE_1.2.5.tar.gz
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RPESE.pdf |RPESE.html✨
RPESE/json (API)
NEWS

# Install 'RPESE' in R:
install.packages('RPESE', repos = c('https://anthonychristidis.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/anthonychristidis/rpese/issues

On CRAN:

3.91 score 9 scripts 1.6k downloads 16 exports 15 dependencies

Last updated 3 months agofrom:7273e9b500. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 01 2024
R-4.5-winOKNov 01 2024
R-4.5-linuxOKNov 01 2024
R-4.4-winOKNov 01 2024
R-4.4-macOKNov 01 2024
R-4.3-winOKNov 01 2024
R-4.3-macOKNov 01 2024

Exports:DSR.SEES.SEESratio.SEEstimatorSELPM.SEMean.SEOmegaRatio.SEprintSERachevRatio.SErobMean.SESD.SESemiSD.SESoR.SESR.SEVaR.SEVaRratio.SE

Dependencies:bootDEoptimRlatticemvtnormpcaPPpyinitRcppRcppEigenRobStatTMrobustbaseRPEGLMENRPEIFrrcovxtszoo

Risk and Performance Estimators Standared Errors (RPESE)

Rendered fromRPESEVignette.pdf.asisusingR.rsp::asison Nov 01 2024.

Last update: 2019-10-28
Started: 2019-10-26