BernardoLedoitRatio

To calculate Bernardo and Ledoit ratio we take the sum of the subset of
returns that are above 0 and we divide it by the opposite of the sum of
the subset of returns that are below 0

Offers procedures to support financial and economic time series modelling and enhanced procedures for computing the investment performance indices of Bacon (2004) <DOI:10.1002/9781119206309>.

Ho Tsung-wu

Tools for Analyzing Time Series Data of Just Finance and
Econometrics

BernardoLedoitRatio function

<dl><dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns</dd>
</dl>

Arguments

Ho Tsung-wu &lt;tsungwu@ntnu.edu.tw&gt;, College of Management, National Taiwan Normal University.

Author

Bernardo and Ledoit ratio of the return distribution — BernardoLedoitRatio

<dl>

<dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns</dd>


</dl>

BernardoLedoitRatio: Bernardo and Ledoit ratio of the return distribution

Description

Usage

Arguments

Author

Details

References

Examples