VarianceCovarianceES: Variance-covariance ES for normally distributed returns

Description Usage Arguments Author(s) References Examples

View source: R/VarianceCovarianceES.R

Description

Estimates the variance-covariance VaR of a portfolio assuming individual asset returns are normally distributed, for specified confidence level and holding period.

Usage

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VarianceCovarianceES(vc.matrix, mu, positions, cl, hp)

Arguments

vc.matrix

Variance covariance matrix for returns

mu

Vector of expected position returns

positions

Vector of positions

cl

Confidence level and is scalar

hp

Holding period and is scalar

Author(s)

Dinesh Acharya

References

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

Examples

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# Variance-covariance ES for randomly generated portfolio
   vc.matrix <- matrix(rnorm(16), 4, 4)
   mu <- rnorm(4)
   positions <- c(5, 2, 6, 10)
   cl <- .95
   hp <- 280
   VarianceCovarianceES(vc.matrix, mu, positions, cl, hp)

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