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'))

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

On CRAN:

Conda:

3.83 score 9 scripts 1.4k downloads 16 exports 15 dependencies

Last updated 6 months agofrom:7273e9b500. Checks:8 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 01 2025
R-4.5-winOKMar 01 2025
R-4.5-macOKMar 01 2025
R-4.5-linuxOKMar 01 2025
R-4.4-winOKMar 01 2025
R-4.4-macOKMar 01 2025
R-4.3-winOKMar 01 2025
R-4.3-macOKMar 01 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 Mar 01 2025.

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