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]>

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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:

3.70 score 9 scripts 872 downloads 16 exports 15 dependencies

Last updated 5 months agofrom:7273e9b500. Checks:8 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKJan 30 2025
R-4.5-winOKJan 30 2025
R-4.5-macOKJan 30 2025
R-4.5-linuxOKJan 30 2025
R-4.4-winOKJan 30 2025
R-4.4-macOKJan 30 2025
R-4.3-winOKJan 30 2025
R-4.3-macOKJan 30 2025

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 Jan 30 2025.

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