SharpeR-package |
statistics concerning Sharpe ratio and Markowitz portfolio |
as.sr |
Compute the Sharpe ratio. |
as.sr.data.frame |
Compute the Sharpe ratio. |
as.sr.default |
Compute the Sharpe ratio. |
as.sr.lm |
Compute the Sharpe ratio. |
as.sr.xts |
Compute the Sharpe ratio. |
as.sropt |
Compute the Sharpe ratio of the Markowitz portfolio. |
as.sropt.default |
Compute the Sharpe ratio of the Markowitz portfolio. |
as.sropt.xts |
Compute the Sharpe ratio of the Markowitz portfolio. |
confint.sr |
Confidence Interval on (optimal) Signal-Noise Ratio |
confint.sropt |
Confidence Interval on (optimal) Signal-Noise Ratio |
dsr |
The (non-central) Sharpe ratio. |
dsropt |
The (non-central) maximal Sharpe ratio distribution. |
inference |
Inference on noncentrality parameter of F-like statistic |
is.sr |
Is this in the "sr" class? |
is.sropt |
Is this in the "sropt" class? |
power.sropt_test |
Power calculations for optimal Sharpe ratio tests |
power.sr_test |
Power calculations for Sharpe ratio tests |
print.sr |
Print values. |
print.sropt |
Print values. |
psr |
The (non-central) Sharpe ratio. |
psropt |
The (non-central) maximal Sharpe ratio distribution. |
qsr |
The (non-central) Sharpe ratio. |
qsropt |
The (non-central) maximal Sharpe ratio distribution. |
reannualize |
Change the annualization of a Sharpe ratio. |
reannualize.sr |
Change the annualization of a Sharpe ratio. |
reannualize.sropt |
Change the annualization of a Sharpe ratio. |
rsr |
The (non-central) Sharpe ratio. |
rsropt |
The (non-central) maximal Sharpe ratio distribution. |
se |
Standard error computation |
se.sr |
Standard error computation |
SharpeR |
statistics concerning Sharpe ratio and Markowitz portfolio |
sr |
Create an 'sr' object. |
sropt |
Create an 'sropt' object. |
sropt_test |
test for optimal Sharpe ratio |
sr_equality_test |
Paired test for equality of Sharpe ratio |
sr_test |
test for Sharpe ratio |