extract_risk: extract the risk value when knowing the weights

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

extract the risk value when knowing the weights

Description

extract the risk value when knowing the weights

Usage

extract_risk(
  R,
  w,
  ES_alpha = 0.05,
  CSM_alpha = 0.05,
  EQS_alpha = 0.05,
  moment_setting = NULL
)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
w	the weight of the portfolio
ES_alpha	the default value is 0.05, but could be specified as any value between 0 and 1
CSM_alpha	the default value is 0.05, but could be specified as any value between 0 and 1
EQS_alpha	the default value is 0.05, but could be specified as any value between 0 and 1
moment_setting	the default is NULL, should provide moment_setting=list(mu=, sigma=) if customize momentFUN

PortfolioAnalytics documentation built on April 10, 2026, 9:07 a.m.