Description Usage Arguments Value Author(s) References Examples
Computes the fourth risk measure due to Bronshtein and Kurelenkova (2009)
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spec |
a character string specifying the distribution (for example, "norm" corresponds to the standard normal) |
alpha |
a real valued parameter taking values in (0, 1), see Chan and Nadarajah for details |
a |
the lower end point of the distribution specified by |
b |
the upper end point of the distribution specified by |
beta |
a non-negative real valued parameter, see Chan and Nadarajah for details |
... |
other parameters |
An object of the same length as alpha
, giving Bronshtein and Kurelenkova (2009)'s fourth risk measure of the distribution specified by spec
Stephen Chan, Saralees Nadarajah
S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted
E. Bronshtein and J. Kurelenkova, Complex risk measures in portfolio optimization, Ufa State Aviation Technical University, Russia, 2009
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