UPM VaR

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Description

Generates an upside VaR based on the Upper Partial Moment ratio

Usage

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