Plots the ES of a portfolio against confidence level assuming that geometric returns are normally distributed, for specified confidence level and holding period.
The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 5. In case there 4 input arguments, the mean and standard deviation of data is computed from return data. See examples for details.
returns Vector of daily geometric return data
mu Mean of daily geometric return data
sigma Standard deviation of daily geometric return data
investment Size of investment
cl ES confidence level and must be a vector
hp ES holding period and must be a scalar
Dowd, K. Measuring Market Risk, Wiley, 2007.
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