Estimates of Standard Errors for Risk and Performance Measures


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Documentation for package ‘RPESE’ version 1.0.3

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ES.SE Standard Error Estimate for Expected Shortfall (ES) of Returns
ESratio.SE Standard Error Estimate for Expected Shortfall Ratio (ESratio) of Returns
EstimatorSE Wrapper Function for Standard Errors Estimates Functions
LPM.SE Standard Error Estimate for Lower Partial Moment (LPM) of Returns
Mean.SE Standard Error Estimate for Mean of Returns
OmegaRatio.SE Standard Error Estimate for Omega Ratio of Returns
printSE Formatted Output for Standard Errors Functions in RPESE
RachevRatio.SE Standard Error Estimate for Rachev Ratio of Returns
SemiSD.SE Standard Error Estimate for Semi-Standared Deviation (SemiSD) of Returns
SharpeRatio.SE Standard Error Estimate for Sharpe Ratio of Returns
SortinoRatio.SE Standard Error Estimate for Sortino Ratio of Returns
StdDev.SE Standard Error Estimate for Standard Deviation (StdDev) of Returns
VaR.SE Standard Error Estimate for Value-at-Risk (VaR) of Returns
VaRratio.SE Standard Error Estimate for Value-at-Risk Ratio (VaRratio) of Returns