risk-budgeting | R Documentation |
Functions for risk budgeting.
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)
x |
x |
weights |
weights |
alpha |
alpha |
mu,Sigma |
mean and covariance |
M3, M4 |
M3 and M4 |
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
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