pt.roy: Roy's safety-first criterion

In YRmisc: Y&R Miscellaneous R Functions

Description

Roy's safety-first criterion is a risk management technique that allows to choose a portfolio based on the criterion that the probability of the portfolio's return falling below a minimum desired threshold is minimized.

Usage

pt.roy(r,mar)

Arguments

r	:a vector of a risk asset return
mar	:minimum acceptable return

Examples

r <- runif(100,0,1) # generate random number to simulate returns
pt.roy(r,0.024)

Example output

[1] 1.778618

YRmisc documentation built on March 25, 2020, 5:13 p.m.