Description Usage Arguments Author(s) References Examples

Estimates ES plot using principal components analysis

1 | ```
PCAESPlot(Ra, position.data)
``` |

`Ra` |
Matrix return data set where each row is interpreted as a set of daily observations, and each column as the returns to each position in a portfolio |

`position.data` |
Position-size vector, giving amount invested in each position |

Dinesh Acharya

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

1 2 3 4 |

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

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