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damienchallet
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moment-free_sharperatios
This repository contains the code for my work entitled "Moment-free Sharpe ratio estimation with total drawdown durations"
GNU General Public License v2.0
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de-mean x before fitting to t distribution
#2
shabbychef
closed
6 years ago
1
estimator is apparently biased for large SNR, large n case
#1
shabbychef
closed
5 years ago
13