This project is focused on developing a Risk/Performance Standard Errors (RPSE) package that implements a new methodology based on statistical influence functions and generalized linear model with elastic net for gamma distributions GLM-GAM/EN for the reliable computation of finite sample standard errors for risk and performance measure estimators for serially correlated returns. The RSPE package will be integrated into the PerformanceAnalytics package in such a way that the user will have the option to use the new standard errors methodology for the risk and performance measures in PerformanceAnalytics.

Student

Xin Chen

Mentors

  • Daniel Hanson
  • Sasha Aravkin
  • Peter Carl
  • Doug Martin
close

2017