Description Usage Arguments Author(s) References Examples

View source: R/LogtESPlot2DHP.R

Plots the ES of a portfolio against holding period assuming that geometric returns are Student t distributed, for specified confidence level and holding period.

1 |

`...` |
The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 5 or 6. In case there 5 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 df Number of degrees of freedom in the t distribution cl ES confidence level and must be a scalar hp ES holding period and must be a vector |

Dinesh Acharya

Dowd, K. Measuring Market Risk, Wiley, 2007.

1 2 3 4 5 6 | ```
# Computes ES given geometric return data
data <- runif(5, min = 0, max = .2)
LogtESPlot2DHP(returns = data, investment = 5, df = 6, cl = .95, hp = 60:90)
# Computes v given mean and standard deviation of return data
LogtESPlot2DHP(mu = .012, sigma = .03, investment = 5, df = 6, cl = .99, hp = 40:80)
``` |

Dowd documentation built on May 30, 2017, 1:30 a.m.

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