dot-RISK_post: Computes the empirical Conditional Value-at-Risk,...
In PortfolioOptim: Small/Large Sample Portfolio Optimization
Description
Usage
Arguments
Value
Description
Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Mean Absolute Deviation for losses with given probabilities
Usage
1
.RISK_post(returns, prob, alpha)
Arguments
returns
vector of losses
prob
vector of probability of losses
alpha
confidence level for CVaR and VaR
Value
list of values
PortfolioOptim documentation built on May 2, 2019, 10:21 a.m.
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Description Usage Arguments Value
Description
Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Mean Absolute Deviation for losses with given probabilities
Usage
1 | .RISK_post(returns, prob, alpha)
|
Arguments
returns |
vector of losses |
prob |
vector of probability of losses |
alpha |
confidence level for CVaR and VaR |
Value
list of values
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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