Plots the ES of a portfolio against holding period assuming that L/P is t distributed, for specified confidence level and holding periods.
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 P/L data
mu Mean of daily P/L data
sigma Standard deviation of daily P/L data
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
Dowd, K. Measuring Market Risk, Wiley, 2007.
Evans, M., Hastings, M. and Peacock, B. Statistical Distributions, 3rd edition, New York: John Wiley, ch. 38,39.
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