extract_risk: extract the risk value when knowing the weights
In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
extract_risk R Documentation
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, 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
moment_setting
the default is NULL, should provide moment_setting=list(mu=, sigma=) if customize momentFUN
PortfolioAnalytics documentation built on April 4, 2025, 2:34 a.m.
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| extract_risk | R Documentation |
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, 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 |
moment_setting |
the default is NULL, should provide moment_setting=list(mu=, sigma=) if customize momentFUN |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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