search

damienchallet / 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
7 stars 4 forks source link

de-mean x before fitting to t distribution #2

Closed shabbychef closed 6 years ago

shabbychef commented 6 years ago

While the fit.tuv procedure can, in theory, deal with an offset via the mu parameter, the fitting of nu should give the same results independently of the empirical mean. Subtracting the empirical mean makes the procedure more robust.

damienchallet commented 6 years ago

This was indeed an unsolved annoyance of the method. De-meaning the input is unfortunately not the way to go: the method would the compute a moment of the input, which is exactly what I want to avoid. However, you are right about forcing the average of the input to zero. The solution I will implement is to apply fit.tuv on c(x,-x).

In addition, a forthcoming new version allows one to bypass fit.tuv by inputing a value for nu if it is known by some other means.