risk-budgeting: Risk Budgeting

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Risk Budgeting

Description

Functions for risk budgeting.

Usage

sampleCOV(x)
normalVaR(x, alpha=0.05)
modifiedVaR(x, alpha=0.05)
sampleVaR(x, alpha=0.05)

budgetsSampleCOV(x, weights, mu=NULL, Sigma=NULL)

budgetsNormalVAR(x, weights, alpha=0.05, mu=NULL, Sigma=NULL)
budgetsModifiedVAR(x, weights, alpha=0.05, mu=NULL, Sigma=NULL, 
  M3=NULL, M4=NULL) 
  
budgetsNormalES(x, weights, alpha=0.05, mu=NULL, Sigma=NULL)
budgetsModifiedES(x, weights, alpha=0.05, mu=NULL, Sigma=NULL, 
  M3=NULL, M4=NULL)

Arguments

x	x
weights	weights
alpha	alpha
mu,Sigma	mean and covariance
M3, M4	M3 and M4

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 April 25, 2023, 9:11 a.m.