alpha: Set new alpha of a portfolio.model
In portfolio.optimization: Contemporary Portfolio Optimization
Description
Usage
Arguments
Value
Author(s)
Examples
Description
alpha sets a new alpha for VaR and Expected Shortfall
Usage
1
Arguments
model
the portfolio.model to be changed
alpha
the value alpha (between 0 and 1)
Value
the adapted portfolio.model
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
Examples
1
2
3
4
data(sp100w17av30s)
model <- optimal.portfolio(scenario.set)
cvar95 <- optimal.portfolio(objective(model, "expected.shortfall"))
cvar90 <- optimal.portfolio(alpha(cvar95, 0.1))
portfolio.optimization documentation built on May 2, 2019, 8:16 a.m.
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Description Usage Arguments Value Author(s) Examples
Description
alpha sets a new alpha for VaR and Expected Shortfall
Usage
1 |
Arguments
model |
the portfolio.model to be changed |
alpha |
the value alpha (between 0 and 1) |
Value
the adapted portfolio.model
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
Examples
1 2 3 4 | data(sp100w17av30s)
model <- optimal.portfolio(scenario.set)
cvar95 <- optimal.portfolio(objective(model, "expected.shortfall"))
cvar90 <- optimal.portfolio(alpha(cvar95, 0.1))
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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