Nothing
cte <- function(xx,alpha){
#Conditional tail expectation
return( mean(xx[xx<(quantile(xx,alpha)+1e-10)]) )
}
cte.fnl <- function(alphas){
#Returns CTE functional list for each factor
nfactor <- length(alphas)
fn.lst <- vector("list",nfactor)
for (j in 1:nfactor){
fn.lst[[j]]$fn <- function(xx){cte(xx,alphas[j])}
fn.lst[[j]]$alpha <- alphas[j]
}
return( fn.lst )
}
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