Package index • rafe

Metrics

Score a forecast by the damage its errors do to a mean-variance decision. Argument order matches the replication code of Salcher, Stöckl & Hanke (2026).

compute_rafe(): Risk-Adjusted Forecast Error (RAFE)
compute_crafe(): Covariance Forecast Error (C-RAFE)
compute_trafe(): Total RAFE (T-RAFE) — Sharpe-Gap Upper Bound
restrict_cov(): Restricted Covariance Matrices for the Nested Metric Sequence

Moment correction

Correct forecast moments you were handed, before they reach the optimiser.

mu_rafe_stein(): RAFE-Stein-Corrected Mean
sigma_crafe_floor(): C-RAFE-Tuned Eigenvalue Floor for Covariance

Tuning

Choose the shrinkage intensity and eigenvalue floor on an inner-validation split.

sep_tune(): Sequentially Tuned Moment Correction
joint_trafe_tune(): Jointly T-RAFE-Tuned Moment Correction

Data

The Fama-French industry portfolios of the published paper.

ff12: Fama-French 12 Industry Portfolios, Monthly Excess Returns

Package

rafe rafe-package: rafe: Decision-Aligned Forecast Evaluation and Moment Correction