Computation and Plots of Influence Functions for Risk and Performance Measures
Influence Function - Downside Sharpe Ratio
Influence Function - Expected Shortfall (ES)
Influence Function - Expected Shortfall (ES) Ratio
Influence Function - Lower Partial Moment (LPM)
Influence Function - Mean
Influence Function - Omega Ratio
Influence Function - Rachev Ratio
Influence Function for Available Risk and Performance Measures
Influence Function - Robust M-Estimator of Mean
Influence Function - Standard Deviation
Influence Function - Semi-Standard Deviation (SemiSD)
Influence Function - Sortino Ratio
Influence Function - Sharpe Ratio (SR)
Influence Function - Value at Risk (VaR)
Influence Function - Value at Risk (VaR) Ratio
Nuisance Parameters Computation
Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) <https://www.ssrn.com/abstract=3085672>, as well as in Zhang et al. (2019) <https://www.ssrn.com/abstract=3415903>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.