portfolio-pfolioRisk: portfolioRisk

Description Usage Arguments References

Description

Computes covariance and CVaR portfolio risk.

Usage

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2
3
covRisk(data, weights)
varRisk(data, weights, alpha = 0.05)
cvarRisk(data, weights, alpha = 0.05)

Arguments

data

a multivariate time series described by an S4 object of class timeSeries.

weights

a numeric vector of weights.

alpha

a numeric value, the confidence level, by default alpha=0.05, i.e. 5%.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.


fPortfolio documentation built on March 26, 2020, 9:17 p.m.