This project is focused on implementing methods to accurately compute the accurate standard errors of risk and performance measures in PerformanceAnalytics when asset returns that are non-normally distributed and/or serially correlated.. The project will leverage existing numerical standard error methods that exist in the “nse” package, but will also implement new methods based on the influence functions for risk and performance measures.

Student

Xin Chen

Mentors

  • Brian G. Peterson
  • Rohit Arora
  • Peter Carl
  • martinrd
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2016