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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>.
| Version: | 1.2.5 |
| Imports: | xts, zoo, boot, RPEIF, RPEGLMEN, RobStatTM |
| Suggests: | testthat, R.rsp, PerformanceAnalytics |
| Published: | 2022-09-08 |
| DOI: | 10.32614/CRAN.package.RPESE |
| Author: | Anthony Christidis, Xin Chen |
| Maintainer: | Anthony Christidis <anthony.christidis at stat.ubc.ca> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| CRAN checks: | RPESE results |
| Reference manual: | RPESE.pdf |
| Vignettes: |
Risk and Performance Estimators Standared Errors (RPESE) |
| Package source: | RPESE_1.2.5.tar.gz |
| Windows binaries: | r-devel: RPESE_1.2.5.zip, r-release: RPESE_1.2.5.zip, r-oldrel: RPESE_1.2.5.zip |
| macOS binaries: | r-release (arm64): RPESE_1.2.5.tgz, r-oldrel (arm64): RPESE_1.2.5.tgz, r-release (x86_64): RPESE_1.2.5.tgz, r-oldrel (x86_64): RPESE_1.2.5.tgz |
| Old sources: | RPESE archive |
| Reverse suggests: | PerformanceAnalytics |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.