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 (2019) <https://ssrn.com/abstract=3085672>.

Version: 1.0
Imports: RPEIF, RPEGLMEN, PerformanceAnalytics, xts, zoo, robustbase, boot, sandwich
Suggests: testthat, R.rsp
Published: 2019-11-06
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

Downloads:

Reference manual: RPESE.pdf
Vignettes: Risk and Performance Estimators Standared Errors (RPESE)
Package source: RPESE_1.0.tar.gz
Windows binaries: r-devel: RPESE_1.0.zip, r-devel-gcc8: RPESE_1.0.zip, r-release: RPESE_1.0.zip, r-oldrel: RPESE_1.0.zip
OS X binaries: r-release: RPESE_1.0.tgz, r-oldrel: RPESE_1.0.tgz

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