R/pt.roy.R

In YRmisc: Y&R Miscellaneous R Functions

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##### Roy's safety-first criterion
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#' @name pt.roy
#' @aliases pt.roy
#' @title Roy's safety-first criterion
#' @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)
#' @param r :a vector of a risk asset return
#' @param mar :minimum acceptable return
#' @examples r <- runif(100,0,1) # generate random number to simulate returns
#' pt.roy(r,0.024)

pt.roy <- function(r,mar){

  roy <- (mean(r) - mar) / sd(r)

  return(roy)
}