UPM.VaR: UPM VaR

Description Usage Arguments Examples

Description

Generates an upside VaR based on the Upper Partial Moment ratio

Usage

1
UPM.VaR(percentile, degree, x)

Arguments

percentile

The percentile for VaR

degree

degree=0 for discrete distributions, degree=1 for continuous distributions.

x

Variable

Examples

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3
set.seed(123)
x<-rnorm(100)
UPM.VaR(0.95,0,x)


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