PCAESPlot: ES plot

Description Usage Arguments Author(s) References Examples

View source: R/PCAESPlot.R

Description

Estimates ES plot using principal components analysis

Usage

1
PCAESPlot(Ra, position.data)

Arguments

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

Author(s)

Dinesh Acharya

References

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

Examples

1
2
3
4
# Computes PCA ES
   Ra <- matrix(rnorm(15*20),15,20)
   position.data <- rnorm(20)
   PCAESPlot(Ra, position.data)

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