Standard Error Estimate for Rachev Ratio of Returns
RachevRatio.SE computes the standard error of the Rachev ratio of the returns.
RachevRatio( R, alpha = 0.1, beta = 0.1, rf = 0, SE = FALSE, SE.control = NULL, ... )
R |
Data of returns for one or multiple assets or portfolios. |
alpha |
Lower tail probability. |
beta |
Upper tail probability. |
rf |
Risk-free interest rate. |
SE |
TRUE/FALSE whether to ouput the standard errors of the estimates of the risk measures, default FALSE. |
SE.control |
Control parameters for the computation of standard errors. Should be done using the |
... |
Additional parameters. |
A vector or a list depending on se.method.
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
# Loading data from PerformanceAnalytics
data(edhec, package = "PerformanceAnalytics")
class(edhec)
# Changing the data colnames
names(edhec) = c("CA", "CTA", "DIS", "EM", "EMN",
"ED", "FIA", "GM", "LS", "MA",
"RV", "SS", "FOF")
# Compute Rachev ratio for managers data
RachevRatio(edhec)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.