Package: bootTimeInference
Type: Package
Title: Robust Performance Hypothesis Testing with the Sharpe Ratio
Version: 0.1.0
Authors@R: c(person("Michael", "Wolf", email = "michael.wolf@econ.uzh.ch", role = "aut"),
  person("Oliver", "Ledoit", email = "olivier.ledoit@econ.uzh.ch", role = "aut"),
  person("Aleksandar", "Spasojevic", email = "aleksandar.spasojevic@outlook.com", role = "cre"))
Description: Applied researchers often test for the difference of the Sharpe
    ratios of two investment strategies. A very popular tool to this end is the test
    of Jobson and Korkie, which has been corrected by Memmel. Unfortunately, this
    test is not valid when returns have tails heavier than the normal distribution
    or are of time series nature. Instead, we propose the use of robust inference
    methods. In particular, we suggest to construct a studentized time series
    bootstrap confidence interval for the difference of the Sharpe ratios and
    to declare the two ratios different if zero is not contained in the obtained
    interval. This approach has the advantage that one can simply resample from the
    observed data as opposed to some null-restricted data.
License: GPL (>= 2)
LazyData: TRUE
Depends: stats
Imports: Rcpp (>= 0.12.3.3)
LinkingTo: Rcpp, RcppArmadillo
Suggests: R.rsp
VignetteBuilder: R.rsp
RoxygenNote: 5.0.1.9000
NeedsCompilation: yes
Packaged: 2016-04-10 20:23:22 UTC; aleksandarspasojevic
Author: Michael Wolf [aut],
  Oliver Ledoit [aut],
  Aleksandar Spasojevic [cre]
Maintainer: Aleksandar Spasojevic <aleksandar.spasojevic@outlook.com>
Repository: CRAN
Date/Publication: 2016-04-11 09:06:32
